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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatility"
~subject:"Black-Scholes-Modell"
~subject:"Experiment"
~subject:"Theory"
~subject:"Yield curve"
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Volatility
Black-Scholes-Modell
Experiment
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Estimation theory
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Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
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Gatheral, Jim
2
Aihara, Shin Ichi
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Albani, Vinícius
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Ammou, Samir Ben
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Baldeaux, jan
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International journal of theoretical and applied finance
Journal of econometrics
489
Economics letters
404
Econometric theory
301
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
244
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
237
Série des documents de travail / Centre de Recherche en Économie et Statistique
158
Econometric reviews
153
Journal of quantitative economics : official journal of the Indian Econometric Society
138
Journal of applied econometrics
137
The review of economics and statistics
124
Discussion paper / Tinbergen Institute
103
Oxford bulletin of economics and statistics
102
Working paper / National Bureau of Economic Research, Inc.
90
Discussion paper / Center for Economic Research, Tilburg University
86
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
83
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
83
Statistical papers
80
CORE discussion paper : DP
77
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
66
The review of economic studies
61
International economic review
59
Applied economics
58
Annales d'économie et de statistique
57
Metrika : international journal for theoretical and applied statistics
57
Journal of forecasting
55
Discussion paper series / IZA
54
Technical working paper / National Bureau of Economic Research
54
Working paper series
52
American journal of agricultural economics
51
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
47
Europäische Hochschulschriften / 5
44
SFB 649 discussion paper
43
Cowles Foundation discussion paper
41
Journal of the Royal Statistical Society
41
The econometrics journal
41
Journal of economic dynamics & control
40
Journal of empirical finance
40
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Working paper
39
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1
Polynomial term structure models
Cheng, Si
;
Tehranchi, Michael R.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650336
Saved in:
2
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:
3
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:
4
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:
5
Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence
Dang-Nguyen, Stephane
;
Le Caillec, Jean-Marc
;
Hillion, Alain
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-22
Persistent link: https://www.econbiz.de/10010438521
Saved in:
6
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:
7
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:
8
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:
9
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:
10
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
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