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Number of items: 9.

Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2017). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. Journal of Banking and Finance, 77:249-268.

Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2016). The Impact of Cointegration on Commodity Spread Options. In: Glau, Kathrin; Grbac, Zorana; Scherer, Matthias; Zagst, Rudi. Innovations in Derivatives Markets. Cham: Springer, 421-435.

Drimus, Gabriel G; Farkas, W; Gourier, Elise (2016). Valuations of options on discretely sampled variance: A general analytic approximation. Journal of Computational Finance, 20(2):39-66.

Farkas, W; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2015). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. SSRN 2679218, University of Zurich.

Bardgett, Chris; Gourier, Elise; Leippold, Markus (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Swiss Finance Institute Research Paper 13-40, University of Zurich.

Gourier, Elise. Affine and quadratic models for volatility and interest rates markets. 2013, University of Zurich, Faculty of Economics.

Farkas, Walter; Gourier, Elise. Les aléas de l’évaluation des risques. In: Le Temps, 25 August 2010, p.online.

Farkas, Walter; Gourier, Elise. Zukunft liegt in der Vergangenheit. In: Handelszeitung, 28 October 2009, p.37.

Gourier, Elise; Abbate, Donato; Farkas, Walter (2009). Operational risk quantification using extreme value theory and copulas: from theory to practice. The Journal of Operational Risk, 4(3):1-24.

This list was generated on Thu Jun 21 18:33:11 2018 CEST.