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The top documents tagged [realized variance]
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realized variance
Patton Sheppard Realized Semi Variance 7oct11
25 views
Vol Market
16 views
Estimation and Forecasting of Stock Volatility With Range - Based Estimators
60 views
Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes Robert Engle and Jose Gonzalo Rangel NYU and UCSD.
219 views
Mean-Reverting Models in Financial and Energy Markets Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and.
216 views
Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models
185 views
Volatility derivatives and default risk
141 views
An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs
105 views
Paper Review: “On the Pricing and Hedging of Volatility Derivatives” by S. Howison, A. Rafailidis and H. Rasmussen (Applied Mathematical Finance J., 2004)
215 views
Forecasting Realized Variance Using Jumps Andrey Fradkin Econ 201 4/4/2007.
218 views
Bruno Dupire Applications of the Root Solution of the Skorohod Embedding Problem in Finance Bruno Dupire Bloomberg LP CRFMS, UCSB Santa Barbara, April.
231 views
Modelling and Pricing of Variance Swaps for Stochastic Volatility with Delay Anatoliy Swishchuk Mathematical and Computational Finance Laboratory Department.
223 views
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