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 TitleAuthors / EditorsDate
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A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics Medvedev, Alexey; Scaillet, Olivier 2003
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Linear-Quadratic Jump-Diffusion Modeling Cheng, P.; Scaillet, Olivier 2006
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Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility Medvedev, Alexey; Scaillet, Olivier 2006
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Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility Medvedev, Alexey; Scaillet, Olivier 2007
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Linear-quadratic jump-diffusion modeling Cheng, Peng; Scaillet, Olivier 2007
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Options pricing with realized volatility La Vecchia, Davide; Corsi, Fulvio; Fusari, Nicola 2009
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Realizing smiles: options pricing with realized volatility La Vecchia, Davide; Corsi, Fulvio; Fusari, Nicola 2011
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Realizing smiles: options pricing with realized volatility La Vecchia, Davide; Corsi, Fulvio; Fusari, Nicola 2011
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Valuing American options using fast recursive projections Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier 2012
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Realizing smiles: Options pricing with realized volatility Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide 2013
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Valuing American options using fast recursive projections Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier 2016