Model risk in the over-the-counter market

Author:

Lazar EmeseORCID,Qi ShuyuanORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference57 articles.

1. An empirical investigation of continuous-time equity return models;Andersen;Journal of Finance,2002

2. Semi-analytical prices for lookback and barrier options under the Heston model;Aquino;Decisions in Economics and Finance,2019

3. Closed-form variance swap prices under general affine GARCH models and their continuous-time limits;Badescu;Annals of Operations Research,2019

4. Revisions to the Basel II market risk framework;Basel Committee on Banking Supervision,2009

5. Assessing financial model risk;Barrieu;European Journal of Operational Research,2015

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1. Variance swaps with mean reversion and multi-factor variance;European Journal of Operational Research;2023-12

2. An empirical investigation of multiperiod tail risk forecasting models;International Review of Financial Analysis;2023-03

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