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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatility"
~subject:"Asymptotic expansion"
~subject:"Entropie"
~subject:"Kreditrisiko"
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Volatility
Asymptotic expansion
Entropie
Kreditrisiko
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
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Gatheral, Jim
2
Albani, Vinícius
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Ammou, Samir Ben
1
Baldeaux, jan
1
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Buescu, Cristin
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Carmona, René
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International journal of theoretical and applied finance
Journal of econometrics
124
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
47
Discussion paper / Tinbergen Institute
35
Econometric reviews
32
Economics letters
30
Journal of banking & finance
21
Journal of empirical finance
21
Economic modelling
20
Quantitative finance
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Finance research letters
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CREATES research paper
15
International journal of forecasting
15
Econometric theory
14
Journal of financial econometrics
14
Journal of risk and financial management : JRFM
13
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12
The econometrics journal
12
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of risk model validation
11
Econometrics : open access journal
10
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9
Dresdner Beiträge zu quantitativen Verfahren
9
European journal of operational research : EJOR
9
SFB 649 discussion paper
9
Advances in econometrics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
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Applied economics
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Applying maximum entropy to econometric problems
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Asia-Pacific financial markets
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Effective asymptotics analysis for finance
Grunspan, Cyril
;
Van der Hoeven, Joris
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012270910
Saved in:
3
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
6
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
7
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
8
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
9
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
10
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
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