Christian Pigorsch - Dokumente zum Namen

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dblp: Christian Pigorsch

dblp.dagstuhl.de

List of computer science publications by Christian Pigorsch

Robert Stelzer's articles on arXiv

arxiv.org

Authors: Christian Pigorsch, Robert Stelzer. Comments: Published in at this http URL the Bernoulli (this http URL) by the International Statistical ...

A Discrete-Time Model for Daily S&P500 Returns and Realized...

papers.ssrn.com

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time com

Estimating Residual Hedging Risk with Least-Squares Monte Carlo by...

papers.ssrn.com

Frequently, dynamic hedging strategies minimizing risk exposure are not given in closed form, but need to be approximated numerically. This makes it difficult t