Volume 42, Issue 2

Search all Decisions in Economics and Finance articles

December 2019

Quantitative Developments in Financial Volatility - Theory & Practice

Issue Editors:

Elisa Alòs,
Maria Elvira Mancino,
Tai-Ho Wang

16 articles in this issue

Quantitative developments in financial volatility—theory and practice
Elisa Alòs
Maria Elvira Mancino
Tai-Ho Wang
Editorial 31 October 2019 Pages: 319 - 320
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Elisa Alòs
Maria Elvira Mancino
Tai-Ho Wang
ReviewPaper 31 October 2019 Pages: 321 - 349
Estimation of volatility in a high-frequency setting: a short review
Jean Jacod
OriginalPaper 16 May 2019 Pages: 351 - 385
From volatility smiles to the volatility of volatility
Bernard Dumas
Elisa Luciano
OriginalPaper 21 August 2019 Pages: 387 - 406
Markovian lifts of positive semidefinite affine Volterra-type processes
Christa Cuchiero
Josef Teichmann
OriginalPaper Open access 08 November 2019 Pages: 407 - 448
Estimating stochastic volatility: the rough side to equity returns
Jonathan Haynes
Daniel Schmitt
Lukas Grimm
OriginalPaper 17 July 2019 Pages: 449 - 469
Asymptotic results for the Fourier estimator of the integrated quarticity
Giulia Livieri
Maria Elvira Mancino
Stefano Marmi
OriginalPaper 11 July 2019 Pages: 471 - 502
On parameter estimation of Heston’s stochastic volatility model: a polynomial filtering method
F. Cacace
A. Germani
M. Papi
OriginalPaper 18 May 2019 Pages: 503 - 525
Asymptotic expansion for some local volatility models arising in finance
Sergio Albeverio
Francesco Cordoni
Gregorio Pellegrini
OriginalPaper 06 May 2019 Pages: 527 - 573
Moment explosions in the rough Heston model
Stefan Gerhold
Christoph Gerstenecker
Arpad Pinter
OriginalPaper Open access 21 September 2019 Pages: 575 - 608
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
Julien Hok
Shih-Hau Tan
OriginalPaper 24 January 2019 Pages: 609 - 637
A realized volatility approach to option pricing with continuous and jump variance components
Dario Alitab
Giacomo Bormetti
Adam A. Majewski
OriginalPaper 21 March 2019 Pages: 639 - 664
Robust calibration and arbitrage-free interpolation of SSVI slices
Jacopo Corbetta
Pierre Cohort
Claude Martini
OriginalPaper 23 May 2019 Pages: 665 - 677
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I
Fabien Le Floc’h
Cornelis W. Oosterlee
OriginalPaper Open access 22 February 2019 Pages: 679 - 714
Semi-analytical prices for lookback and barrier options under the Heston model
Luca De Gennaro Aquino
Carole Bernard
OriginalPaper 25 May 2019 Pages: 715 - 741
A note on the implied volatility of floating strike Asian options
Elisa Alòs
Jorge A. León
OriginalPaper 11 March 2019 Pages: 743 - 758

Volume 42, Issue 2

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