Robust Calibration of Jump-Type Asset Price Models

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Primary Data

Project Acronym Projekt Kurzbezeichnung
FAM: Robuste Kalibrierung
 
Project Title (de) Projekttitel (de)
Robust Calibration of Jump-Type Asset Price Models
 
Project Title (en) Projekttitel (en)
Robust Calibration of Jump-Type Asset Price Models
 
Consortium Coordinator Koordinator des Konsortiums
 
Principal Investigator Projektleiter_in
 

Grants

Funder/Funding Agency Fördergeber
Fonds zur Förderung der wissenschaftlichen Forschung (FWF)
Grant number Förderkennnummer
P18022
 

Publications


Results 1-9 of 9 (Search time: 0.002 seconds).

PreviewAuthor(s)TitleTypeIssue Date
1Keller-Ressel, Martin Smile Asymptotics for Affine Stochastic Volatility ModelsPräsentation Presentation2007
2Keller-Ressel, Martin ; Steiner, Thomas Yield curves shapes in affine term structure modelsPräsentation Presentation2007
3Keller-Ressel, Martin ; Steiner, Thomas Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor ModelsPräsentation Presentation2007
4Steiner, Thomas ; Keller-Ressel, Martin Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor ModelsPräsentation Presentation2007
5Shmileva, Elena Small ball probabilities of some Lévy processes and their application to the Chung law of iterated logarithmPräsentation Presentation2007
6Keller-Ressel, Martin Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor ModelsPräsentation Presentation2007
7Keller-Ressel, Martin Non-Parametric Calibration of the BNS ModelPräsentation Presentation2007
8Keller-Ressel, Martin ; Steiner, Thomas Yield curves shapes in affine term structure modelsPräsentation Presentation2007
9Slinko, Irina On finite dimension realizations of two-country interest rate modelsPräsentation Presentation2007