Consistent Variance Curve Models
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 10 (2006)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Björk, Tomas & Christensen, Bent Jesper, 1997.
"Interest Rate Dynamics and Consistent Forward Rate Curves,"
Working Paper Series in Economics and Finance
209, Stockholm School of Economics.
- Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348.
- Bent Jesper Christensen & Tomas Björk, . "Interest Rate Dynamics and Consistent Forward Rate Curves," Management Working Papers 1999-4, School of Economics and Management, University of Aarhus.
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
- Gilles Zumbach, 2009. "Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models," Papers 0901.2275, arXiv.org.
- Jan Baldeaux & Alexander Badran, 2012.
"Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
1203.5903, arXiv.org, revised Aug 2012.
- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.