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Stochastic volatility
Results: 470

#	Item
381	Wo r k i n g Pa p e r S e r i e S NO[removed]j a n u a r y 2013 Interest rate volatility A consol rate-based measure Vincent Brousseau and Alain Durré Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2013-01-22 08:29:58 Options Investment Volatility Implied volatility Stochastic volatility Swaption Yield curve Black–Scholes Eonia Mathematical finance Financial economics Finance
382	Inflation and output volatility under asymmetric incomplete information Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2009-09-17 08:53:06 New Keynesian economics Economic theories Macroeconomic policy Dynamic stochastic general equilibrium Monetary policy Macroeconomic model Central bank Inflation Euro Macroeconomics Economics New classical macroeconomics
383	WO R K I N G PA P E R S E R I E S NO[removed]AUGUST 2007 IS THE CORPORATE BOND MARKET FORWARD LOOKING? Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2007-08-17 10:19:27 Finance Investment Implied volatility Stochastic volatility Volatility Merton Model Black–Scholes Bond Volatility smile Financial economics Mathematical finance Options
384	A stochastic monetary policy interest rate model Claudio Albanese Manlio Trovato [removed] Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Options Markov models Stochastic processes Markov chain Continuous-time Markov process Volatility smile Local volatility Stochastic volatility Matrix Statistics Mathematical finance Markov processes
385	Cross-dynamics of volatility term structures implied by foreign exchange options Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2005-09-28 11:49:51 Finance Investment Volatility smile Implied volatility Stochastic volatility Volatility Black–Scholes Foreign-exchange option Foreign exchange market Mathematical finance Financial economics Options
386	A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE ´ CLAUDIO ALBANESE AND ALEKSANDAR MIJATOVIC Abstract. It is a widely recognised fact that risk-reversals play a central role in pricing of derivatives Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:20 Options Finance Stochastic processes Markov models Technical analysis Volatility Stochastic volatility Local volatility Markov chain Mathematical finance Statistics Financial economics
387	RE S E A R C H PA P E R Q U A N T I T A T I V E F I N A N C E V O L U M E[removed]–154 INSTITUTE O F PHYSICS PUBLISHING quant.iop.org Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:24 Statistics Finance Binomial options pricing model Volatility Stochastic volatility Black–Scholes Autoregressive conditional heteroskedasticity Symbol Beta code Mathematical finance Financial economics Options
388	DISCRETIZATION SCHEMES FOR SUBORDINATED PROCESSES CLAUDIO ALBANESE AND ALEXEY KUZNETSOV A BSTRACT. We introduce a new class of continuous time lattices which are suitable for local Levy and stochastic volatility processe Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:24 Stochastic processes Markov chain Fourier transform Martingale Itō diffusion Spectral theory of ordinary differential equations Statistics Mathematical analysis Markov processes
389	CREDIT BARRIER MODELS CLAUDIO ALBANESE, GIUSEPPE CAMPOLIETI, OLIVER CHEN, AND ANDREI ZAVIDONOV A BSTRACT. The model introduced in this article is designed to provide a consistent representation for both the real-world an Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:18 Stochastic processes Finance Black–Scholes Credit default swap Variance gamma process Stochastic differential equation Credit rating agency Credit risk Implied volatility Mathematical finance Financial economics Statistics
390	Monetary Policy Risk and CMS Spreads Claudio Albanese † Manlio Trovato Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Finance Stochastic volatility Volatility Markov chain Local volatility Stochastic drift Implied volatility Mathematical finance Statistics Financial economics

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