We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate...
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
Spatialapplications must managepartwhole (PW) relationships between spatial objects, for example, the division of an administrative region into zones based on land use. Support fo...
Rosanne Price, Nectaria Tryfona, Christian S. Jens...