Stefan Rostek

University of Tuebingen - Faculty of Economics and Business Administration

Mohlstrasse 36

D-72074 Tuebingen, 72074

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

762

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Equilibrium Pricing of Options in a Fractional Brownian Market

Number of pages: 19 Posted: 04 Nov 2010
Stefan Rostek and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 192 (171,155)
Citation 1

Abstract:

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Fractional Brownian Motion, Closed-Form Solution, Conditional Expectation, Pricing Equilibrium, Risk Aversion

2.

More than You Ever Wanted to Know About the VIX: Bringing Together Serial Correlation and Volatility Clustering

Number of pages: 30 Posted: 26 Feb 2014
Stefan Rostek
University of Tuebingen - Faculty of Economics and Business Administration
Downloads 184 (177,887)
Citation 3

Abstract:

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volatility clustering, serial correlation, multifractionality, model-free volatility

3.

Explaining the Volatility Surface: A Closed-Form Solution to Option Pricing in a Fractional Jump-Diffusion Market

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 23 Posted: 06 Mar 2012 Last Revised: 26 Oct 2012
Stefan Rostek
University of Tuebingen - Faculty of Economics and Business Administration
Downloads 127 (241,803)
Citation 1

Abstract:

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closed-form solution, equilibrium model, fractional Brownian motion, jump-diffusion

4.

Fractional Brownian Motion and the Inherent Exclusion of Arbitrage

Number of pages: 21 Posted: 04 Nov 2010
Stefan Rostek and Rainer Schoebel
University of Tuebingen - Faculty of Economics and Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 123 (247,625)

Abstract:

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Fractional Brownian Motion, Wick-It├┤ Calculus, Fractional Stratonovich Calculus, Dynamic Incompleteness

5.

Estimating LGD with Stochastic Collateral

Number of pages: 32 Posted: 20 Jan 2014
Robert Frontczak and Stefan Rostek
Landesbank Baden-W├╝rttemberg (LBBW) and University of Tuebingen - Faculty of Economics and Business Administration
Downloads 91 (304,662)

Abstract:

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Loss given default, Collateral, Real estate

6.

The Valuation of M&A Targets by Relative Indifference Pricing

Number of pages: 17 Posted: 28 Feb 2014
Carolin Mauch and Stefan Rostek
University of Tuebingen - Faculty of Economics and Social Sciences and University of Tuebingen - Faculty of Economics and Business Administration
Downloads 45 (437,676)

Abstract:

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relative indifference pricing, buy and sell price, real options, incomplete markets