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Quantitative Finance Volume 13, 2013 - Issue 9
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Research Papers

A moment matching market implied calibration

Florence Guillaume Department of Mathematics, K.U. Leuven, Celestijnenlaan 200 B, B-3001 Leuven, BelgiumCorrespondence[email protected]
&
Wim Schoutens Department of Mathematics, K.U. Leuven, Celestijnenlaan 200 B, B-3001 Leuven, Belgium
Pages 1359-1373 | Received 06 Mar 2012, Accepted 04 Apr 2013, Published online: 22 Jul 2013

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Frédéric Vrins & Linqi Wang. (2023) Asymmetric short-rate model without lower bound. Quantitative Finance 23:2, pages 279-295.
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Articles from other publishers (8)

Lynn Boen & Florence Guillaume. (2019) Towards a $$\Delta $$Δ-Gamma Sato multivariate model. Review of Derivatives Research 23:1, pages 1-39.
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Mark Cummins, Greg Kiely & Bernard Murphy. (2018) Gas storage valuation under multifactor Lévy processes. Journal of Banking & Finance 95, pages 167-184.
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Florence Guillaume & Wim Schoutens. (2014) A bootstrapping market implied moment matching calibration for models with time-dependent parameters. Journal of Computational and Applied Mathematics 271, pages 100-116.
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Lynn Boen & Florence Guillaume. (2016) Towards a Delta-Gamma Sato Multivariate Model. SSRN Electronic Journal.
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Sven Balder. (2015) Model-Free Implied Variance Measures. SSRN Electronic Journal.
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Greg Kiely, Bernard Murphy & Mark Cummins. (2015) Gas Storage Valuation Under Multi-Factor Levy Processes. SSRN Electronic Journal.
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Florence Guillaume & Wim Schoutens. (2013) A Bootstrapping Market Implied Moment Matching Calibration for Models with Time-Dependent Parameters. SSRN Electronic Journal.
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Florence Guillaume & Wim Schoutens. (2013) Heston Model: The Variance Swap Calibration. SSRN Electronic Journal.
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