Freiburg, DE
Germany
University of Freiburg
Stochastic volatility, Hawkes processes, Jump clusters, Exponential affine processes, Variance swap, Implied volatility for variance options
Asian options, Option pricing, Jumps clustering, Hawkes processes, Affine Processes, COS Method
Mean reversion, non-Gaussian processes, moment-matching, Asian option valuation, stochastic annuities
affine processes, dynamic factor model, multiple term structures, Nelson-Siegel curve
Asian options, Exact simulation, Lévy processes, Moment based approximations
Sequential Monte Carlo, Quasi-Bayesian Estimation, Risk-Neutral Cumulants, Multifactor Affine Models
Commodity derivatives, Multifactor affine stochastic volatility models, Self-exciting jumps, Simulation, Asian options.
