The volatility target effect in structured investment products with capital protection

This publication has 16 references indexed in Scilit:

• Targeting Volatility:A Tail Risk Solution When Investors Behave Badly
  The Journal of Index Investing, 2014
• Dynamic Asset Allocation Strategies Based on Unexpected Volatility
  SSRN Electronic Journal, 2013
• Extension of stochastic volatility equity models with the Hull–White interest rate process
  Quantitative Finance, 2012
• An Implementation of the Hybrid-Heston-Hull-White Model
  SSRN Electronic Journal, 2009
• A Model with Interacting Assets Driven by Poisson Processes
  Stochastic Analysis and Applications, 2006
• A model of financial market with several interacting assets. Complete market case
  Finance and Stochastics, 2002
• Using Hull-White Interest Rate Trees
  The Journal of Derivatives, 1996
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
  The Review of Financial Studies, 1993
• Pricing Interest-Rate-Derivative Securities
  The Review of Financial Studies, 1990
• An equilibrium characterization of the term structure
  Journal of Financial Economics, 1977