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https://doi.org/10.2139/ssrn.3624855

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inferredcites →https://doi.org/10.1002/9781119201274.ch5openalex-extracted
Weekly Options on CBOE Volatility Index Futures
inferredcites →https://doi.org/10.1007/978-1-4612-0197-7_13openalex-extracted
Modelling by Lévy Processess for Financial Econometrics
inferredcites →https://doi.org/10.1007/978-1-84628-737-4openalex-extracted
Mathematical Methods for Financial Markets
inferredcites →https://doi.org/10.1007/978-3-319-41255-9openalex-extracted
Enlargement of Filtration with Finance in View
inferredcites →https://doi.org/10.1007/978-3-540-69826-5openalex-extracted
Applied Stochastic Control of Jump Diffusions
inferredcites →https://doi.org/10.1007/978-3-540-78572-9openalex-extracted
Malliavin Calculus for Lévy Processes with Applications to Finance
inferredcites →https://doi.org/10.1007/978-3-662-02619-9_6openalex-extracted
Stochastic Differential Equations
inferredcites →https://doi.org/10.1007/978-3-662-05265-5openalex-extracted
Limit Theorems for Stochastic Processes
inferredcites →https://doi.org/10.1007/978-3-662-10061-5openalex-extracted
Stochastic Integration and Differential Equations
inferredcites →https://doi.org/10.1007/s10436-017-0302-3openalex-extracted
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index
inferredcites →https://doi.org/10.1016/j.eneco.2017.08.016openalex-extracted
Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions
inferredcites →https://doi.org/10.1080/13504860601170609openalex-extracted
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
inferredcites →https://doi.org/10.1080/1350486x.2017.1333015openalex-extracted
Regime-switching stochastic volatility model: estimation and calibration to VIX options
inferredcites →https://doi.org/10.1080/14697680500467905openalex-extracted
Optimal portfolio for an insider in a market driven by Lévy processes§
inferredcites →https://doi.org/10.1111/1467-9868.00282openalex-extracted
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00506.xopenalex-extracted
STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
inferredcites →https://doi.org/10.1111/mafi.12196openalex-extracted
The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
inferredcites →https://doi.org/10.1142/8062openalex-extracted
Hedging Derivatives
inferredcites →https://doi.org/10.1142/s0219024906003998openalex-extracted
MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
inferredcites →https://doi.org/10.1142/s0219024919500432openalex-extracted
PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS
inferredcites →https://doi.org/10.1142/s2424786316500274openalex-extracted
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
inferredcites →https://doi.org/10.1214/aop/1176991776openalex-extracted
Time Reversal on Levy Processes
inferredcites →https://doi.org/10.21314/jem.2009.021openalex-extracted
The information premium for non-storable commodities
inferredcites →https://doi.org/10.2139/ssrn.2741089openalex-extracted
Modeling and Pricing Precipitation Derivatives Under Weather Forecasts
inferredcites →https://doi.org/10.2139/ssrn.2786650openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.1904.12260openalex-extracted
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
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