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subject:"Deutschland"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Interest rate derivative"
~subject:"Statistische Verteilung"
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Deutschland
Interest rate derivative
Statistische Verteilung
Option pricing theory
133
Optionspreistheorie
133
Stochastic process
58
Stochastischer Prozess
58
Volatility
42
Volatilität
42
Finance
36
Derivat
30
Derivative
30
Option trading
27
Optionsgeschäft
27
Option pricing
18
Real options analysis
16
Realoptionsansatz
16
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Monte-Carlo-Simulation
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Portfolio selection
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Markov-Kette
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Pricing
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Hedging
10
Black-Scholes model
8
Black-Scholes-Modell
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Experiment
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Swap
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Real options
7
Risikomanagement
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Risk management
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Credit risk
6
Estimation theory
6
Kreditrisiko
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Risiko
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Risk
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Schätztheorie
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6
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English
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Fanelli, Viviana
2
Ballestra, Luca Vincenzo
1
Bhat, Harish S.
1
Cui, Zhenyu
1
D'Innocenzo, Enzo
1
Dalla Valle, Luciana
1
De Giuli, Maria Elena
1
Ewald, Christian
1
Guizzardi, Andrea
1
Kirby, J. Lars
1
Kumar, Nitesh
1
Li, Haitao
1
Manelli, Claudio
1
Monteiro, Ana Margarida
1
Nguyen, Duy
1
Shiraya, Kenichiro
1
Tarantola, Claudia
1
Tütüncü, Reha H.
1
Vicente, Luís N.
1
Yamakami, Tomohisa
1
Ye, Xiaoxia
1
Yu, Fan
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Zou, Yihan
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European journal of operational research : EJOR
International journal of theoretical and applied finance
42
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
The journal of computational finance
27
Review of derivatives research
22
The journal of futures markets
21
Applied mathematical finance
19
Quantitative finance
19
Journal of banking & finance
17
International journal of financial engineering
16
Journal of econometrics
16
Finance and stochastics
12
Gabler Edition Wissenschaft
12
Journal of mathematical finance
12
Computational economics
11
SFB 649 discussion paper
11
Journal of economic dynamics & control
10
Risks : open access journal
9
The North American journal of economics and finance : a journal of financial economics studies
9
Finance research letters
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
SpringerLink / Bücher
8
Discussion papers of interdisciplinary research project 373
7
Review of quantitative finance and accounting
7
Europäische Hochschulschriften / 5
6
Insurance / Mathematics & economics
6
Kredit und Kapital
6
Lecture notes in economics and mathematical systems : LNEMS
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Advances in futures and options research : a research annual
5
Applied economics
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Economic modelling
5
Journal of financial and quantitative analysis : JFQA
5
Journal of financial economics
5
Mathematics and financial economics
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
The journal of finance : the journal of the American Finance Association
5
The journal of fixed income
5
CFS working paper series
4
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ECONIS (ZBW)
10
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
3
A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu
;
Kirby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
Saved in:
4
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian
;
Zou, Yihan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
Saved in:
5
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
6
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
7
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
8
Default probability estimation via pair copula constructions
Dalla Valle, Luciana
;
De Giuli, Maria Elena
;
Tarantola, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Saved in:
9
Option pricing under a normal mixture distribution derived from the Markov tree model
Bhat, Harish S.
;
Kumar, Nitesh
- In:
European journal of operational research : EJOR
223
(
2012
)
3
,
pp. 762-774
Persistent link: https://www.econbiz.de/10009656138
Saved in:
10
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida
;
Tütüncü, Reha H.
;
Vicente, …
- In:
European journal of operational research : EJOR
187
(
2008
)
2
,
pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
Saved in:
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