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subject:"Deutschland"
~isPartOf:"The journal of computational finance"
~subject:"Interest rate derivative"
~subject:"Statistische Verteilung"
~subject:"Volatilität"
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Deutschland
Interest rate derivative
Statistische Verteilung
Volatilität
Option pricing theory
254
Optionspreistheorie
254
Stochastic process
87
Stochastischer Prozess
87
Theorie
67
Theory
67
Volatility
65
Option trading
58
Optionsgeschäft
58
Monte Carlo simulation
43
Monte-Carlo-Simulation
43
Derivat
32
Derivative
32
Black-Scholes model
24
Black-Scholes-Modell
24
Yield curve
23
Zinsstruktur
23
Zinsderivat
18
Analysis
17
Mathematical analysis
17
Simulation
16
stochastic volatility
15
Swap
13
Experiment
11
Finanzmathematik
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Mathematical finance
11
option pricing
11
Credit risk
10
Hedging
10
Kreditrisiko
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Interest rate
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Statistical distribution
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USA
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United States
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calibration
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Joshi, Mark S.
3
Le Floc'h, Fabien
3
Oosterlee, Cornelis Willebrordus
3
Rebonato, Riccardo
3
Reisinger, Christoph
3
Andersen, Leif B. G.
2
Brotherton-Ratcliffe, Rupert
2
Coleman, Thomas F.
2
Ehrhardt, Matthias
2
Glasserman, Paul
2
Grzelak, Lech A.
2
Guyon, Julien
2
Günther, Michael
2
Hafner, Reinhold
2
Jabłecki, Juliusz
2
Kirkby, J. Lars
2
Korn, Ralf
2
Li, Yuying
2
Merener, Nicolas
2
Piterbarg, Vladimir V.
2
Schoenmakers, John
2
Takahashi, Akihiko
2
Ahdida, Abdelkoddousse
1
Albani, Vinícius
1
Alfonsi, Aurélien
1
Ascher, Uri M.
1
Bain, Alan
1
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Cakici, Nusret
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Chan, Jiun Hong
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1
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The journal of computational finance
International journal of theoretical and applied finance
181
Quantitative finance
113
The journal of futures markets
92
Applied mathematical finance
90
Journal of banking & finance
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
63
Review of derivatives research
63
The journal of derivatives : the official publication of the International Association of Financial Engineers
61
International journal of financial engineering
58
Finance research letters
51
European journal of operational research : EJOR
48
Finance and stochastics
48
Journal of mathematical finance
46
Journal of econometrics
44
The North American journal of economics and finance : a journal of financial economics studies
43
Computational economics
42
Journal of economic dynamics & control
42
Risks : open access journal
37
Insurance / Mathematics & economics
32
Journal of financial economics
29
Research paper series / Swiss Finance Institute
28
Review of quantitative finance and accounting
27
Annals of finance
26
Applied economics
25
International review of economics & finance : IREF
25
The European journal of finance
25
Journal of empirical finance
22
Management science : journal of the Institute for Operations Research and the Management Sciences
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
20
Energy economics
20
Journal of risk and financial management : JRFM
20
The journal of finance : the journal of the American Finance Association
20
International review of financial analysis
19
Journal of financial and quantitative analysis : JFQA
19
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
19
SFB 649 discussion paper
19
Economic modelling
18
Mathematics and financial economics
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Asia-Pacific financial markets
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ECONIS (ZBW)
87
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87
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1
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
2
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
3
Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Saved in:
4
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
5
Analytical conversion between implied volatilities based on different dividend models
Lucic, Vladimir
;
Jovanović, Vladimir
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 103-120
Persistent link: https://www.econbiz.de/10014314571
Saved in:
6
An artificial neural network representation of the SABR stochastic volatility model
McGhee, William A.
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012938882
Saved in:
7
Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
Nagami, Kenji
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 29-50
Persistent link: https://www.econbiz.de/10012938885
Saved in:
8
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
9
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
Saved in:
10
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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