{"title":"具有随机相关的马尔可夫随机波动率:SPX/VIX短期限微笑的联合校准与一致性","authors":"M. Forde, Benjamin S. Smith","doi":"10.1142/s0219024923500073","DOIUrl":null,"url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"1 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles\",\"authors\":\"M. Forde, Benjamin S. Smith\",\"doi\":\"10.1142/s0219024923500073\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\",\"PeriodicalId\":47022,\"journal\":{\"name\":\"International Journal of Theoretical and Applied Finance\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.5000,\"publicationDate\":\"2023-05-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Theoretical and Applied Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/s0219024923500073\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Theoretical and Applied Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s0219024923500073","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
期刊介绍:
The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.