Patton Sheppard Realized Semi Variance 7oct11
Vol Market
Estimation and Forecasting of Stock Volatility With Range - Based Estimators
Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes Robert Engle and Jose Gonzalo Rangel NYU and UCSD.
Mean-Reverting Models in Financial and Energy Markets Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and.
Achieving Consistent Modeling Of VIX and Equities Derivatives
Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models
Volatility derivatives and default risk
An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs
Paper Review: “On the Pricing and Hedging of Volatility Derivatives” by S. Howison, A. Rafailidis and H. Rasmussen (Applied Mathematical Finance J., 2004)
Forecasting Realized Variance Using Jumps Andrey Fradkin Econ 201 4/4/2007.
Bruno Dupire Applications of the Root Solution of the Skorohod Embedding Problem in Finance Bruno Dupire Bloomberg LP CRFMS, UCSB Santa Barbara, April.
