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Pricing currency derivatives under the benchmark approach
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Pricing currency derivatives under the benchmark approach (2014)Pricing currency derivatives under the be…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Stochastic risk premiums, sto…Option pricing when correlations are stochastic: an analytical framework (2007)Option pricing when correlati…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Options and Bubbles (2006)Options and BubblesMoment explosions in stochastic volatility models (2006)Moment explosions in stochast…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Affine processes and applications in finance (2003)Affine processes and applicat…The Term Structure of Implied Volatility (2000)The Term Structure of Implied…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Logik der Forschung (1935)Logik der ForschungThe Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Maximum likelihood estimation of stochastic volatility models (2006)Efficient Simulation of the Heston Stochastic Volatility Model (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)History of Science and Its Rational Reconstructions (1970)Logic of Discovery or Psychology of Research? (1970)Causality and Explanation (1998)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
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  • 2007Option pricing when correlations are stochastic: an analytical framework206 cited
  • 2007Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

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