E-LIB Suche - Ergebnisse für: Mozumder, Sharif

1

An evaluation of the adequacy of Lévy and extreme value tai..:

Mozumder, Sharif ; Hassan, M. Kabir ; Kabir, M. Humayun
Financial Innovation. 10 (2024) 1 - p. , 2024

Link: https://doi.org/10.1186/..

2

Which User-Friendly Model is the Best for BASEL-III? An Eme..:

Mozumder, Sharif ; Abedin, Mohammad Zoynul ; Lalon, Raad.
Computational Economics. , 2024

Link: https://doi.org/10.1007/..

3

On practitioners closed-form GARCH option pricing:

Mozumder, Sharif ; Frijns, Bart ; Talukdar, Bakhtear.
International Review of Financial Analysis. 94 (2024) - p. 103296 , 2024

Link: https://doi.org/10.1016/..

4

Distribution of big claims in a Lévy insurance risk process..:

Mozumder, Sharif ; Hassan, M. Kabir ; Sorwar, Ghulam.
Communications in Statistics - Theory and Methods. , 2024

Link: https://doi.org/10.1080/..

5

Non-linear volatility with normal inverse Gaussian innovati..:

Mozumder, Sharif ; Talukdar, Bakhtear ; Kabir, M. Humayun.
Review of Quantitative Finance and Accounting. 62 (2023) 1 - p. 97-133 , 2023

Link: https://doi.org/10.1007/..

6

Option Pricing Model Biases: Bayesian and Markov Chain Mont..:

Mozumder, Sharif ; Choudhry, Taufiq ; Dempsey, Michael
Computational Economics. 57 (2020) 4 - p. 1287-1305 , 2020

Link: https://doi.org/10.1007/..

7

Risk management under time varying volatility and Pareto-st..:

Mozumder, Sharif ; Kabir, M. Humayun ; Dempsey, Michael.
Applied Economics Letters. 27 (2019) 3 - p. 161-167 , 2019

Link: https://doi.org/10.1080/..

8

Pricing and hedging options with GARCH-stable proxy volatil..:

, In: Applied economics

Mozumder, Sharif ; Kabir, Humayun ; Dempsey, Michael. (2018) 56 - p. 6034-6046

Exemplare: Zentrale;

9

Spectral measures of risk for international futures markets..:

Mozumder, Sharif ; Choudhry, Taufiq ; Dempsey, Michael
Global Finance Journal. 37 (2018) - p. 248-261 , 2018

Link: https://doi.org/10.1016/..

10

Pricing and hedging options with GARCH-stable proxy volatil..:

Mozumder, Sharif ; Kabir, M. Humayun ; Dempsey, Michael
Applied Economics. 50 (2018) 56 - p. 6034-6046 , 2018

Link: https://doi.org/10.1080/..

11

Back-testing extreme value and Lévy value-at-risk models: E..:

Mozumder, Sharif ; Dempsey, Michael ; Kabir, M. Humayun
The Journal of Risk Finance. 18 (2017) 1 - p. 88-118 , 2017

Link: https://doi.org/10.1108/..

12

Do coherent risk measures identify assets risk profiles sim..:

Mozumder, Sharif ; Humayun Kabir, M. ; Dempsey, Michael
Investment Management and Financial Innovations. 14 (2017) 3 - p. 361-380 , 2017

Link: https://doi.org/10.21511..

13

An improved framework for approximating option prices with ..:

Mozumder, Sharif ; Dempsey, Michael ; Kabir, M. Humayun.
Economic Modelling. 59 (2016) - p. 285-296 , 2016

Link: https://doi.org/10.1016/..

14

Option pricing under non-normality: a comparative analysis:

Mozumder, Sharif ; Sorwar, Ghulam ; Dowd, Kevin
Review of Quantitative Finance and Accounting. 40 (2012) 2 - p. 273-292 , 2012

Link: https://doi.org/10.1007/..

15

Implied Bond and Derivative Prices Based on Non-Linear Stoc..:

Sorwar, Ghulam ; Mozumder, Sharif
Applied Mathematics. 1 (2010) 1 - p. 37-43 , 2010

Link: https://doi.org/10.4236/..