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Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution
In: Journal of Banking and Finance, Band 58, S. 194-213
SSRN
Long and Short Memory in the Risk-Neutral Pricing Process
In: Journal of Derivatives, Summer 2019, DOI: https://doi.org/10.3905/jod.2019.1.077
SSRN
Financial Models with Levy Processes and Volatility Clustering
In: The Frank J. Fabozzi series
The financial crisis that began in the summer of 2007 has led to criticisms that the financial models used by risk managers, portfolio managers, and even regulators simply do not reflect the realities of today's markets. While one tool cannot be blamed for the entire global financial crisis, improving the flexibility and statistical reliability of existing models, in addition to developing better models, is essential for both financial practitioners and academics seeking to explain and prevent extreme events.
The Equity Risk Posed by the Too-Big-To-Fail Banks: A Foster-Hart Estimation
In: Annals of Operations Research, Band (1), Heft 21–41
SSRN
Foster-Hart Optimal Portfolios
In: Journal of Banking and Finance, Band 68
SSRN
Quanto Option Pricing with Lévy Models
SSRN
Working paper
Financial models with Lévy processes and volatility clustering
In: The Frank J. Fabozzi series
Association between types of involvement in school bullying and different dimensions of anxiety symptoms and the moderating effects of age and gender in Taiwanese adolescents
In: Child abuse & neglect: the international journal ; official journal of the International Society for the Prevention of Child Abuse and Neglect, Band 37, Heft 4, S. 263-272
ISSN: 1873-7757