Pricing Derivative Securities

By T. W. Epps. 2000

62 citations recorded by the source corpus.

Subfields: Finance

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On the complete model with stochastic volatility by Hobson and Rogers (2004, background): “…present or past values of the underlying price, and multifactor models that allow for exogenous stochastic influence (see, for instance, the monograph by Epps [11] and the recent papers by Barucci, Malliavin, Mancino, Renò and Thalmaier [2], Davis [7] for comprehensive bibliographic references).”
Fitting the variance-gamma model to financial data (2004, background): “Madan et al. (1998), in the guise of its Research Report predecessor, was already described in a monograph (Epps (2000)).”
On a class of degenerate parabolic equations of Kolmogorov type (2005, background): “Aiming to overcome this problem, many authors proposed different models based on a stochastic volatility (see [14] for a survey).”
DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE (2014, methodology): “It should be noticed that in Decamps, Goovaerts, and Schoutens (2006a) an analytical expression for the transition density was obtained in a particular case where σ1 = σ2, α1 = α2, so that dependence of the joint density on the occupation time becomes trivial (e.g., see equation (2.3) or (3.8),…”