FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1986296987> ?p ?o ?g. }

• W1986296987 abstract "AbstractThe dependence structure is crucial when modelling several assets simultaneously. We show for a real-data example that the correlation structure between assets is not constant over time but rather changes stochastically, and we propose a multidimensional asset model which fits the patterns found in the empirical data. The model is applied to price multi-asset derivatives by means of perturbation theory. It turns out that the leading term of the approximation corresponds to the Black–Scholes derivative price with correction terms adjusting for stochastic volatility and stochastic correlation effects. The practicability of the presented method is illustrated by some numerical implementations. Furthermore, we propose a calibration methodology for the considered model." @default.
• W1986296987 created "2016-06-24" @default.
• W1986296987 creator A5002948390 @default.
• W1986296987 creator A5031575572 @default.
• W1986296987 creator A5031583407 @default.
• W1986296987 creator A5091456376 @default.
• W1986296987 date "2014-04-14" @default.
• W1986296987 modified "2023-09-27" @default.
• W1986296987 title "Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory" @default.
• W1986296987 cites W1487597787 @default.
• W1986296987 cites W177587320 @default.
• W1986296987 cites W1963787328 @default.
• W1986296987 cites W1966036727 @default.
• W1986296987 cites W1967238670 @default.
• W1986296987 cites W1977153352 @default.
• W1986296987 cites W1980900546 @default.
• W1986296987 cites W1982030118 @default.
• W1986296987 cites W2039511516 @default.
• W1986296987 cites W2059328523 @default.
• W1986296987 cites W2062510159 @default.
• W1986296987 cites W2065242466 @default.
• W1986296987 cites W2068532961 @default.
• W1986296987 cites W2088894581 @default.
• W1986296987 cites W2094206697 @default.
• W1986296987 cites W2117019869 @default.
• W1986296987 cites W2120367138 @default.
• W1986296987 cites W2131116134 @default.
• W1986296987 cites W2150066941 @default.
• W1986296987 cites W2152535677 @default.
• W1986296987 cites W2157858527 @default.
• W1986296987 cites W2167455546 @default.
• W1986296987 cites W2473390144 @default.
• W1986296987 cites W2497646188 @default.
• W1986296987 cites W3012274919 @default.
• W1986296987 cites W3124155533 @default.
• W1986296987 cites W4229911014 @default.
• W1986296987 doi "https://doi.org/10.1080/1350486x.2014.906972" @default.
• W1986296987 hasPublicationYear "2014" @default.
• W1986296987 type Work @default.
• W1986296987 sameAs 1986296987 @default.
• W1986296987 citedByCount "4" @default.
• W1986296987 countsByYear W19862969872015 @default.
• W1986296987 countsByYear W19862969872016 @default.
• W1986296987 countsByYear W19862969872017 @default.
• W1986296987 crossrefType "journal-article" @default.
• W1986296987 hasAuthorship W1986296987A5002948390 @default.
• W1986296987 hasAuthorship W1986296987A5031575572 @default.
• W1986296987 hasAuthorship W1986296987A5031583407 @default.
• W1986296987 hasAuthorship W1986296987A5091456376 @default.
• W1986296987 hasConcept C105795698 @default.
• W1986296987 hasConcept C106159729 @default.
• W1986296987 hasConcept C111771559 @default.
• W1986296987 hasConcept C117220453 @default.
• W1986296987 hasConcept C121332964 @default.
• W1986296987 hasConcept C135205223 @default.
• W1986296987 hasConcept C149782125 @default.
• W1986296987 hasConcept C162324750 @default.
• W1986296987 hasConcept C177918212 @default.
• W1986296987 hasConcept C24189920 @default.
• W1986296987 hasConcept C2524010 @default.
• W1986296987 hasConcept C28826006 @default.
• W1986296987 hasConcept C33923547 @default.
• W1986296987 hasConcept C41008148 @default.
• W1986296987 hasConcept C62520636 @default.
• W1986296987 hasConcept C8272713 @default.
• W1986296987 hasConcept C85393063 @default.
• W1986296987 hasConcept C91602232 @default.
• W1986296987 hasConceptScore W1986296987C105795698 @default.
• W1986296987 hasConceptScore W1986296987C106159729 @default.
• W1986296987 hasConceptScore W1986296987C111771559 @default.
• W1986296987 hasConceptScore W1986296987C117220453 @default.
• W1986296987 hasConceptScore W1986296987C121332964 @default.
• W1986296987 hasConceptScore W1986296987C135205223 @default.
• W1986296987 hasConceptScore W1986296987C149782125 @default.
• W1986296987 hasConceptScore W1986296987C162324750 @default.
• W1986296987 hasConceptScore W1986296987C177918212 @default.
• W1986296987 hasConceptScore W1986296987C24189920 @default.
• W1986296987 hasConceptScore W1986296987C2524010 @default.
• W1986296987 hasConceptScore W1986296987C28826006 @default.
• W1986296987 hasConceptScore W1986296987C33923547 @default.
• W1986296987 hasConceptScore W1986296987C41008148 @default.
• W1986296987 hasConceptScore W1986296987C62520636 @default.
• W1986296987 hasConceptScore W1986296987C8272713 @default.
• W1986296987 hasConceptScore W1986296987C85393063 @default.
• W1986296987 hasConceptScore W1986296987C91602232 @default.
• W1986296987 hasLocation W19862969871 @default.
• W1986296987 hasOpenAccess W1986296987 @default.
• W1986296987 hasPrimaryLocation W19862969871 @default.
• W1986296987 hasRelatedWork W1546214498 @default.
• W1986296987 hasRelatedWork W1566840716 @default.
• W1986296987 hasRelatedWork W1894494774 @default.
• W1986296987 hasRelatedWork W2042824863 @default.
• W1986296987 hasRelatedWork W2126853883 @default.
• W1986296987 hasRelatedWork W2149664115 @default.
• W1986296987 hasRelatedWork W2166189198 @default.
• W1986296987 hasRelatedWork W2168535520 @default.
• W1986296987 hasRelatedWork W2171615138 @default.
• W1986296987 hasRelatedWork W2216152614 @default.
• W1986296987 hasRelatedWork W2510943586 @default.
• W1986296987 hasRelatedWork W2912732581 @default.

• next