Quadratic variation, models, applications and lessons
Article Properties
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DOI (url)
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Publication Date2022/01/01
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Indian UGC (journal)
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Refrences35
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Citations3
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Dilip B. Madan Robert H. Smith School of Business, University of Maryland, College Park, MD 20742, USA
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King Wang Derivative Product Strats, Morgan Stanley, 1585 Broadway, 5th floor, New York, NY 10036, USA
Abstract
Cite
Madan, Dilip B., and King Wang. “Quadratic Variation, Models, Applications and Lessons”. Frontiers of Mathematical Finance, vol. 1, no. 2, 2022, p. 189, https://doi.org/10.3934/fmf.2021007.
Madan, D. B., & Wang, K. (2022). Quadratic variation, models, applications and lessons. Frontiers of Mathematical Finance, 1(2), 189. https://doi.org/10.3934/fmf.2021007
Madan, Dilip B., and King Wang. “Quadratic Variation, Models, Applications and Lessons”. Frontiers of Mathematical Finance 1, no. 2 (2022): 189. https://doi.org/10.3934/fmf.2021007.
Madan DB, Wang K. Quadratic variation, models, applications and lessons. Frontiers of Mathematical Finance. 2022;1(2):189.
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| 10.21314/JCF.2014.278 | ||||
| 10.1142/S0219024900000541 | ||||
| A Tale of Two Indices | The Journal of Derivatives |
| 301 | 2006 |
Robust replication of volatility and hybrid derivatives on jump diffusions | Mathematical Finance |
| 2 | 2021 |
| Hedging variance options on continuous semimartingales | Finance and Stochastics |
| 52 | 2009 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| On the quadratic variation in limit order markets | Borsa Istanbul Review |
| 2024 | |
| Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities. | SSRN Electronic Journal | 2023 | ||
OPTION SURFACE STATISTICS WITH APPLICATIONS | International Journal of Theoretical and Applied Finance |
| 2022 |
Citations Analysis
| Category | Category Repetition |
|---|---|
| Social Sciences: Finance | 2 |
| Social Sciences: Economic theory. Demography: Economics as a science | 1 |
| Social Sciences: Commerce: Business | 1 |
The category
Social Sciences: Finance 2
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled OPTION SURFACE STATISTICS WITH APPLICATIONS and was published in 2022. The most recent citation comes from a 2024 study titled On the quadratic variation in limit order markets. This article reached its peak citation in 2024, with 1 citations. It has been cited in 3 different journals, 33% of which are open access. Among related journals, the Borsa Istanbul Review cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.