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A framework for robust measurement of implied correlation
16 references·0 citing·40 second hop
A framework for robust measurement of implied correlation (2014)A framework for robust measurement of imp…The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…Multivariate extensions of Spearman's rho and related statistics (2006)Multivariate extensions of Sp…A Tale of Two Indices (2006)A Tale of Two IndicesRisk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…An Analysis of Covariance Risk and Pricing Anomalies (2003)An Analysis of Covariance Ris…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Upper and lower bounds or sum of random variables (2000)Upper and lower bounds or sum…The Investor Fear Gauge (2000)The Investor Fear GaugeArbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…A Closed-Form Approximation for Valuing Basket Options (1998)A Closed-Form Approximation f…Black-Scholes and Beyond: Option Pricing Models (1996)Black-Scholes and Beyond: Opt…Implied Binomial Trees (1994)Implied Binomial TreesOption pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Martingales and arbitrage in multiperiod securities markets (1979)Financial valuation of guaranteed minimum withdrawal benefits (2005)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Theory of Rational Option Pricing (1973)Model Specification and Risk Premia: Evidence from Futures Options (2007)The VIX, the variance premium and stock market volatility (2014)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)The Pricing of Options on Assets with Stochastic Volatilities (1987)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Investor sentiment and the price of oil (2017)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2006A Tale of Two Indices381 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2000Upper and lower bounds or sum of random variables190 cited
  • 2006Multivariate extensions of Spearman's rho and related statistics172 cited
  • 1996Black-Scholes and Beyond: Option Pricing Models147 cited
  • 2003An Analysis of Covariance Risk and Pricing Anomalies140 cited
  • 1998A Closed-Form Approximation for Valuing Basket Options116 cited

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