Katja Ignatieva - Dokumente zum Namen - alle Infos bei Yasni.de

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Biases in Variance of Decomposed Portfolio Returns by Vitali Alexeev,...

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Significant portfolio variance biases arise when contrasting multi-period portfolio returns based on the assumption of fixed continuously rebalanced portfolio w

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DescriptionUk katja-tejokasistino.jpg, Universala Kongreso de Esperanto, Gotenburgo TEJO-kasistino Katja Ignatieva.

A nonparametric model for spot price dynamics and pricing of futures...

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Katja Ignatieva School of Risk and Actuarial Studies, Australian School of Business, University of New South Wales, Kensington Campus, Sydney NSW 2052, …

A Nonparametric Model for Spot Price Dynamics and Pricing of Futures...

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This paper deals with the estimation of continuous time diffusion processes describing the dynamics of electricity spot prices. Different parametric models have

6th World Congress of the Bachelier Finance Society

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Authors: Katja Ignatieva, Paulo Rodrigues, Norman Seeger This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in ...

Explaining Credit Default Swap Spreads by Means of Realized Jumps and...

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Katja Ignatieva. University of New South Wales - Australian School of Business. Jonathan Ziveyi ... Katja Ignatieva (Contact Author). University of New South ...

A tractable model for indices approximating the growth optimal...

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Katja Ignatieva: School of Risk and Actuarial Studies, Australian School of B usiness, University of New South Wales, Sydney,. Australia. Eckhard Platen: Finance ...

Managing Systematic Mortality Risk in Life Annuities SSRN

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See all articles by Simon Man Chung Fung · Simon Man Chung Fung. Commonwealth Bank of Australia. Katja Ignatieva. University of New ...

Modelling Co-Movements and Tail Dependency in the International Stock...

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This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperb

Ignatieva, Katja | DeepDyve

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author: Jan Baldeaux, Finance Discipline Group, University of Technology Sydney, Australia, Katja Ignatieva: School of Risk ...

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Dokumente zum Namen Katja Ignatieva