Barndorff-Nielsen, O. and N. Shephard; Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in nancial economics, J. Royal Statistical Society, Series B, 63, 1-42, 2000. Home/Search Document Not in Database Summary Related Articles Check |
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Dynamics of Implied Volatility Surfaces. - Cont, Fonseca (2002) (1 citation) (Correct)
....a model for the deformation of the implied volatility surface. This correspondence may be, however, very non explicit [22, 34] It would nevertheless be interesting to compare our 58 empirical findings with the dynamics of implied volatility surfaces in traditional stochastic volatility models [4, 22], at least on a qualitative or numerical basis. 7.3. Quantifying and hedging volatility risk Our model allows a simple and straightforward approach to the modelling and hedging of volatility risk, defined in terms familiar to practitioners in the options market, namely that of Vega risk defined ....
Barndorff-Nielsen O E and Shephard N 2001 Non-Gaussian Ornstein--Uhlenbeck-based models and some of their uses in financial economics (with discussion) J. R. Stat. Soc. B 63 167--241
A Survey of Mathematical Finance - Hobson (Correct)
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Barndorff-Nielsen, O. and N. Shephard; Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in nancial economics, J. Royal Statistical Society, Series B, 63, 1-42, 2000.
Extremes of supOU processes - Fasen, Klüppelberg (2006) (Correct)
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Barndorff-Nielsen, O. E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in nancial economics (with discussion). J. Roy. Statist. Soc. Ser. B 63 (2), 167241.
Extremal Behavior of Stochastic Volatility Models - Fasen, Klüppelberg, Lindner (2006) (Correct)
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Barndorff-Nielsen, O. E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in nancial economics (with discussion). J. Roy. Statist. Soc. Ser. B 63 (2), 167-241.
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Barndorff-Nielsen, O.E. and N. Shephard (2001). Non-Gaussian OrnsteinUhlenbeck -based models and some of their uses in financial economics, J.R.S.S.(B), 63, 1-42.
Extremes of supOU processes - Fasen, Klüppelberg (2005) (Correct)
No context found.
Barndorff-Nielsen, O. E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics (with discussion). J. Roy. Statist. Soc. Ser. B 63 (2), 167--241.
Extremes of Lévy Driven Mixed MA Processes with Convolution .. - Fasen (2005) (Correct)
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Barndorff-Nielsen, O. E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics (with discussion). J. Roy. Statist. Soc. Ser. B 63 (2), 167--241.
Continuous-Time GARCH Processes - Brockwell, Chadraa, Lindner (2006) (2 citations) (Correct)
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BARNDORFF-NIELSEN,O.E.andSHEPHARD, N. (2001). Non-Gaussian Ornstein-- Uhlenbeck based models and some of their uses in financial economics (with discussion). J. Roy. Statist. Soc. Ser. B 63 167--241. MR1841412
Option Pricing Models with Jumps: Integro-Differential.. - Cont, Tankov, Voltchkova (2004) (Correct)
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O. E. Barndorff-Nielsen and N. Shephard, Non-Gaussian OrnsteinUhlenbeck based models and some of their uses in financial econometrics, J. R. Statistic. Soc. B, 63 (2001), pp. 167--241.
Self-Similar Processes With Independent - Increments Associated With (Correct)
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O. E. Barndorff-Nielsen and N. Shephard. Non-Gaussian OrnsteinUhlenbeck -based models and some of their uses in financial economics. J. R. Stat. Soc. Ser. B Stat. Methodol., 63(2):167--241, 2001.
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