Ausgabe 2/2019
Quantitative Developments in Financial Volatility - Theory & Practice
Inhalt (16 Artikel)
Editorial
Quantitative developments in financial volatility—theory and practice
Elisa Alòs, Maria Elvira Mancino, Tai-Ho Wang
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Elisa Alòs, Maria Elvira Mancino, Tai-Ho Wang
Open Access
Original research
Markovian lifts of positive semidefinite affine Volterra-type processes
Christa Cuchiero, Josef Teichmann
Estimating stochastic volatility: the rough side to equity returns
Jonathan Haynes, Daniel Schmitt, Lukas Grimm
Asymptotic results for the Fourier estimator of the integrated quarticity
Giulia Livieri, Maria Elvira Mancino, Stefano Marmi
On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method
F. Cacace, A. Germani, M. Papi
Asymptotic expansion for some local volatility models arising in finance
Sergio Albeverio, Francesco Cordoni, Luca Di Persio, Gregorio Pellegrini
Open Access
Moment explosions in the rough Heston model
Stefan Gerhold, Christoph Gerstenecker, Arpad Pinter
A realized volatility approach to option pricing with continuous and jump variance components
Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski
Robust calibration and arbitrage-free interpolation of SSVI slices
Jacopo Corbetta, Pierre Cohort, Ismail Laachir, Claude Martini
Open Access
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I
Fabien Le Floc’h, Cornelis W. Oosterlee
Semi-analytical prices for lookback and barrier options under the Heston model
Luca De Gennaro Aquino, Carole Bernard