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Analytically pricing volatility swaps under stochastic volatility
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Analytically pricing volatility swaps under stochastic volatility (2015)Analytically pricing volatility swaps und…Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Volatility Derivatives (2009)Volatility DerivativesTHE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (2008)THE EFFECT OF JUMPS AND DISCR…VIX futures (2006)VIX futuresRealized power variation and stochastic volatility models (2003)Realized power variation and …Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Probability distribution of returns in the Heston model with stochastic volatility* (2002)Probability distribution of r…Probability distribution of returns in the Heston model with stochastic volatility* (2002)Probability distribution of r…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)The sample autocorrelations o…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Valuing futures and options on volatility (1996)Valuing futures and options o…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options on Assets with Stochastic Volatilities (1987)Why Does Stock Market Volatility Change Over Time? (1989)Limit theorems for multipower variation in the presence of jumps (2006)Differential Equations Driven by Rough Paths (2007)Realized jumps on financial markets and predicting credit spreads (2010)The Pricing of Options and Corporate Liabilities (1973)The Price of a Smile: Hedging and Spanning in Option Markets (2001)Options and Bubbles (2006)Valuation of VIX derivatives (2012)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Prices of State-Contingent Claims Implicit in Option Prices (1978)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Brownian Motion and Stochastic Calculus (2007)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Parametric and Nonparametric Volatility Measurement (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
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  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
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  • 2003Realized power variation and stochastic volatility models243 cited
  • 1996Valuing futures and options on volatility225 cited
  • 1998The sample autocorrelations of heavy-tailed processes with applications to ARCH225 cited
  • 2002Probability distribution of returns in the Heston model with stochastic volatility*219 cited
  • 2009Volatility Derivatives178 cited
  • 2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS172 cited
  • 2002Probability distribution of returns in the Heston model with stochastic volatility*

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170 cited
  • 2006VIX futures168 cited
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