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isPartOf:"The journal of real estate finance and economics"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Bank of England Working Paper"
~isPartOf:"Staff working papers / Bank of England"
~subject:"Option pricing theory"
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Option pricing theory
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Aly, Sidi Mohamed Ould
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The journal of real estate finance and economics
Applied mathematical finance
Bank of England Working Paper
Staff working papers / Bank of England
International journal of theoretical and applied finance
23
The journal of computational finance
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
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European journal of operational research : EJOR
8
The journal of derivatives : the official publication of the International Association of Financial Engineers
8
Finance and stochastics
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International journal of financial engineering
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The journal of futures markets
7
Insurance / Mathematics & economics
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Review of derivatives research
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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Vahlens Kurzlehrbücher
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Discussion paper / Tinbergen Institute
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Journal of financial economics
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Springer eBook Collection
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The North American journal of economics and finance : a journal of theory and practice
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The journal of fixed income
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
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1
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
2
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
3
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung
;
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
Saved in:
4
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
5
Prices and asymptotics for discrete variance swaps
Bernard, Carole
;
Cui, Zhenyu
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 140-173
Persistent link: https://www.econbiz.de/10010352006
Saved in:
6
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
Saved in:
7
Pricing equity swaps in an economy with jumps
Hinnerich, Mia
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 94-117
Persistent link: https://www.econbiz.de/10009737176
Saved in:
8
Options on realized variance in Log-OU models
Drimus, Gabriel
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 477-494
Persistent link: https://www.econbiz.de/10009710936
Saved in:
9
Heterogeneous agents and the indifference pricing of property index linked swaps
Pu, Ming
;
Fan, Gang-zhi
;
Ong, Seow-eng
- In:
The journal of real estate finance and economics
44
(
2012
)
4
,
pp. 543-569
Persistent link: https://www.econbiz.de/10009581815
Saved in:
10
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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