Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

[1]  Damiano Brigo,et al.  Alternative asset-price dynamics and volatility smile , 2003 .

[2]  Damiano Brigo,et al.  The General Mixture Diffusion Sde and its Relationship with an Uncertain-Volatility Option Model with Volatility-Asset Decorrelation , 2002, 0812.4052.

[3]  N. Bingham,et al.  Semi-parametric modelling in finance: theoretical foundations , 2002 .

[4]  Damiano Brigo,et al.  Lognormal-mixture dynamics and calibration to market volatility smiles , 2002 .

[5]  D. Brigo,et al.  Displaced and Mixture Diffusions for Analytically-Tractable Smile Models , 2002 .

[6]  R. Huisman,et al.  Notes and communications: The Tail-Fatness of FX Returns Reconsidered , 2002 .

[7]  R. Huisman,et al.  The tail fatness of FX returns reconsidered. , 2002 .

[8]  D. Hunter.  Performance of Dupire's implied diffusion approach under sparse and incomplete data , 2001 .

[9]  R. Huisman,et al.  Tail-Index Estimates in Small Samples , 2001 .

[10]  Performance of Dupire's implied diffusion approach under sparse and incomplete data , 2001 .

[11]  D. Brigo,et al.  Interest Rate Models , 2001 .

[12]  D. Hunter.  The equity option volatility smile: an implicit finite-difference approach , 2000 .

[13]  Implied Volatility: A mixed up smile , 2000 .

[14]  V. Isakov,et al.  Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets , 1999 .

[15]  T. Coleman,et al.  Reconstructing the Unknown Local Volatility Function , 1999 .

[16]  Franc J. G. M. Klaassen,et al.  Improving GARCH Volatility Forecasts , 1998 .

[17]  Victor Isakov,et al.  The inverse problem of option pricing , 1997 .

[18]  M. Dacorogna,et al.  Modelling Short-Term Volatility with GARCH and Harch Models , 1997 .

[19]  C. Goodhart,et al.  High frequency data in financial markets: Issues and applications , 1997 .

[20]  William R. Melick,et al.  Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis , 1997, Journal of Financial and Quantitative Analysis.

[21]  Leif Andersen,et al.  The equity option volatility smile: an implicit finite-difference approach , 1997 .

[22]  Marco Avellaneda,et al.  Calibrating Volatility Surfaces Via Relative-Entropy Minimization , 1996 .

[23]  Stephen Gray.  Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process , 1996 .

[24]  Emanuel Derman,et al.  Implied Trinomial Tress of the Volatility Smile , 1996 .

[25]  Jeff Fleming,et al.  Implied volatility functions: empirical tests , 1996, IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr).

[26]  Goldman,et al.  Implied Trinomial Trees of the Volatility Smile , 1996 .

[27]  M. Avellaneda,et al.  Pricing and hedging derivative securities in markets with uncertain volatilities , 1995 .

[28]  James D. Hamilton,et al.  Autoregressive conditional heteroskedasticity and changes in regime , 1994 .

[29]  Jun Cai.  A Markov Model of Switching-Regime ARCH , 1994 .

[30]  M. Rubinstein..  Implied Binomial Trees , 1994 .

[31]  Bruno Dupire.  Pricing with a Smile , 1994 .

[32]  S. Heston.  A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[33]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[34]  R. Baillie,et al.  INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .

[35]  R. J. Ritchey,et al.  CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES , 1990 .

[36]  R. Baillie,et al.  The Message in Daily Exchange Rates , 1989 .

[37]  T. Bollerslev,et al.  A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .

[38]  Alan G. White,et al.  The Pricing of Options on Assets with Stochastic Volatilities , 1987 .

[39]  Jacky C. So.  The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Comment , 1987 .

[40]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[41]  W. Torous,et al.  A Simplified Jump Process for Common Stock Returns , 1983, Journal of Financial and Quantitative Analysis.

[42]  P. Hall.  On Some Simple Estimates of an Exponent of Regular Variation , 1982 .

[43]  J. McFarland,et al.  The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply , 1982 .

[44]  Douglas T. Breeden,et al.  Prices of State-Contingent Claims Implicit in Option Prices , 1978 .

[45]  T. W. Epps,et al.  The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis , 1976 .

[46]  S. Ross,et al.  The valuation of options for alternative stochastic processes , 1976 .

[47]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[48]  B. M. Hill,et al.  A Simple General Approach to Inference About the Tail of a Distribution , 1975 .

[49]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.