kw.\*:("Volatilité stochastique")
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Application du modèle GARCH à l'évaluation des options MONEP = Application of GARCH model to the evaluation of MONEP optionsVILLA, C.Journal de la Société de statistique de Paris. 1996, Vol 137, Num 2, pp 51-68, issn 0037-914XArticle
Portfolio insurance and synthetic securitiesGEMAN, H.Applied stochastic models and data analysis. 1992, Vol 8, Num 3, pp 179-188, issn 8755-0024Article
Une approche unifiée pour une forme exacte du prix d'une option dans les différents modèles a volatilité stochastique = A unified approach for an exact closed-form of option price in different models including stochastic volatilityLEBLANC, B.Stochastics and stochastics reports (Print). 1996, Vol 57, Num 1-2, pp 1-35, issn 1045-1129Article
Frontiers of financial econometrics and financial engineeringGHYSELS, Eric; TAUCHEN, George.Journal of econometrics. 2003, Vol 116, Num 1-2, issn 0304-4076, 411 p.Serial Issue
Option pricing with regulated fractional Brownian motionALDABE, F; BARONE-ADESI, G; ELLIOTT, R. J et al.Applied stochastic models and data analysis. 1998, Vol 14, Num 4, pp 285-294, issn 8755-0024Conference Paper
Nonlinear time series with long memory : a model for stochastic volatilityROBINSON, P. M; ZAFFARONI, P.Journal of statistical planning and inference. 1998, Vol 68, Num 2, pp 359-371, issn 0378-3758Conference Paper
State-space stochastic volatility models : A review of estimation algorithmsCAPOBIANCO, E.Applied stochastic models and data analysis. 1996, Vol 12, Num 4, pp 265-279, issn 8755-0024Article
Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong modelNELSON, D. B; FOSTER, D. P.Journal of econometrics. 1995, Vol 67, Num 2, pp 303-335, issn 0304-4076Article
Towards a self-consistent theory of volatilityLIONS, Pierre-Louis; LASRY, Jean-Michel.Journal de mathématiques pures et appliquées. 2006, Vol 86, Num 6, pp 541-551, issn 0021-7824, 11 p.Article
Stochastic volatility model with filteringELLIOTT, Robert J; HONG MIAO.Stochastic analysis and applications. 2006, Vol 24, Num 3, pp 661-683, issn 0736-2994, 23 p.Article
Computing the implied volatility in stochastic volatility modelsBERESTYCKI, Henri; BUSCA, Jérome; FLORENT, Igor et al.Communications on pure and applied mathematics. 2004, Vol 57, Num 10, pp 1352-1373, issn 0010-3640, 22 p.Article
OPTIONS EXOTIQUES SUR ACTIONS ET STRATEGIES OPTIONNELLES = PRICING & HEDGING EXOTIC OPTIONSMoreno, Michael; Augros, Jean-Claude.2000, 443 p.Thesis
Estimation des paramètres d'un mélange de lois normales provenant d'un modèle saut-diffusion a volatilité stochastique a deux etats = Parameter estimation of normal distribution mixing from a jump-diffusion model with two-state stochastic volatilityZAMFIRESCU, N. S; CHILARESCU, C.Journal de la Société de statistique de Paris. 1998, Vol 139, Num 2, pp 61-86, issn 0037-914XArticle
Large-time asymptotics for an uncorrelated stochastic volatility modelFORDE, Martin.Statistics & probability letters. 2011, Vol 81, Num 8, pp 1230-1232, issn 0167-7152, 3 p.Article
Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy ProductsMONTERO, José-María; FERNANDEZ-AVILES, Gema; GARCIA, Maria-Carmen et al.International statistical review. 2010, Vol 78, Num 3, pp 330-347, issn 0306-7734, 18 p.Article
Aggregation and memory of models of changing volatilityZAFFARONI, Paolo.Journal of econometrics. 2007, Vol 136, Num 1, pp 237-249, issn 0304-4076, 13 p.Article
Bayesian portfolio selection with multi-variate random variance models : New opportunities for operations researchSOYER, Refik; TANYERI, Kadir.European journal of operational research. 2006, Vol 171, Num 3, pp 977-990, issn 0377-2217, 14 p.Conference Paper
Breaks and persistency : macroeconomic causes of stock market volatilityBELTRATTI, A; MORANA, C.Journal of econometrics. 2006, Vol 131, Num 1-2, pp 151-177, issn 0304-4076, 27 p.Article
Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysisOTAKA, Masaaki; YOSHIDA, Toshihiro.Mathematical and computer modelling. 2003, Vol 38, Num 11-13, pp 1399-1408, issn 0895-7177, 10 p.Conference Paper
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility ModelsKHEDHER, Asma.Stochastic analysis and applications. 2012, Vol 30, Num 3, pp 403-425, issn 0736-2994, 23 p.Article
Large investor trading impacts on volatilityLIONS, Pierre-Louis; LASRY, Jean-Michel.Annales de l'Institut Henri Poincaré. Analyse non linéaire. 2007, Vol 24, Num 2, pp 311-323, issn 0294-1449, 13 p.Article
Stochastic volatility and fractional Brownian motionGLOTER, A; HOFFMANN, M.Stochastic processes and their applications. 2004, Vol 113, Num 1, pp 143-172, issn 0304-4149, 30 p.Article
Self-organized model for information spread in financial marketsHUANG, Z.-F.The European physical journal. B, Condensed matter physics. 2000, Vol 16, Num 2, pp 379-385, issn 1434-6028Article
Long-term equity anticipation securities and stock market volatility dynamicsBOLLERSLEV, T; MIKKELSEN, H. O.Journal of econometrics. 1999, Vol 92, Num 1, pp 75-99, issn 0304-4076Article
Random coefficient volatility modelsTHAVANESWARAN, A; PEIRIS, S; APPADOO, S et al.Statistics & probability letters. 2008, Vol 78, Num 6, pp 582-593, issn 0167-7152, 12 p.Article