Stochastic Volatility and Seasonality in ... - Interconti, Limited
Stochastic Volatility and Seasonality in ... - Interconti, Limited
Stochastic Volatility and Seasonality in ... - Interconti, Limited
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Duffie, J. D. & S<strong>in</strong>gleton, K. J. (1997). “An Econometric Model of the Term Structure of<br />
Interest Rate Swap Yields”. Journal of F<strong>in</strong>ance, 52, 1287–1321.<br />
Duffie, J. D. & S<strong>in</strong>gleton, K. J. (1999). “Model<strong>in</strong>g term structures of defaultable bonds”.<br />
Review of F<strong>in</strong>ancial Studies, 12, 687–720.<br />
Fama, E. F. & French, K. R. (1987). “Commodity Futures Prices: Some Evidence on Forecast<br />
Power, Premiums, <strong>and</strong> the Theory of Storage”. Journal of Bus<strong>in</strong>ess, 60(1), 55–73.<br />
Frechette, D. L. (1997). “The Dynamics of Convenience <strong>and</strong> the Brazilian Soybean Boom”.<br />
American Journal of Agricultural Economics, 79, 1108–1118.<br />
Gibson, R. & Schwartz, E. S. (1991). “Valuation of Long Term Oil-L<strong>in</strong>ked Assets”. In Lund,<br />
D. & Øksendal, B., editors, <strong>Stochastic</strong> Models <strong>and</strong> Option Values, pp. 73–101. Elsevier<br />
Science Publishers B.V. (North-Holl<strong>and</strong>).<br />
Hamilton, J. D. (1994). Time Series Analysis. Pr<strong>in</strong>ceton University Press, Pr<strong>in</strong>ceton, New<br />
Jersey.<br />
Hannan, E. J.; Terrell, R. D., & Tuckwell, N. (1970). “The Seasonal Adjustment of Economic<br />
Time Series”. International Economic Review, 11, 24–52.<br />
Heston, S. L. (1993). “A closed-Form Solution for Options with <strong>Stochastic</strong> <strong>Volatility</strong> with<br />
Applications to Bond <strong>and</strong> Currency Options”. Review of F<strong>in</strong>ancial Studies, 6(2), 327–<br />
343.<br />
Hilliard, J. E. & Reis, J. (1998). “Valuation of commodity futures <strong>and</strong> options under stochastic<br />
convenience yields, <strong>in</strong>terest rates, <strong>and</strong> jump diffusions <strong>in</strong> the spot”. Journal of F<strong>in</strong>ancial<br />
<strong>and</strong> Quantitative Analysis, 33(1), 61–86.<br />
Hilliard, J. E. & Reis, J. (1999). “Jump processes <strong>in</strong> commodity futures prices <strong>and</strong> options<br />
pric<strong>in</strong>g”. American Journal of Agricultural Economics, 81, 273–286.<br />
Hull, J. C. (2000). Options, Futures, <strong>and</strong> other Derivatives. Prentice-Hall, 4 edition.<br />
Jamshidian, F. & Fe<strong>in</strong>, M. (1990). “Closed-form solutions for oil futures <strong>and</strong> European options<br />
<strong>in</strong> the Gibson-Schwartz model: A note”. Work<strong>in</strong>g paper, Merrill Lynch Capital Markets.<br />
Jarrow, R. A. (1996). Modell<strong>in</strong>g Fixed Income Securities <strong>and</strong> Interest Rate Options. McGraw-<br />
Hill.<br />
30