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subject:"Deutschland"
~isPartOf:"The journal of computational finance"
~subject:"Interest rate derivative"
~subject:"Statistische Verteilung"
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Deutschland
Interest rate derivative
Statistische Verteilung
Option pricing theory
251
Optionspreistheorie
251
Stochastic process
84
Stochastischer Prozess
84
Theorie
67
Theory
67
Volatility
64
Volatilität
64
Option trading
57
Optionsgeschäft
57
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Derivat
32
Derivative
32
Black-Scholes model
23
Black-Scholes-Modell
23
Yield curve
23
Zinsstruktur
23
Zinsderivat
18
Analysis
16
Mathematical analysis
16
Simulation
15
stochastic volatility
14
Swap
13
Finanzmathematik
11
Mathematical finance
11
Credit risk
10
Experiment
10
Kreditrisiko
10
option pricing
10
Hedging
9
Interest rate
9
Statistical distribution
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USA
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United States
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Zins
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Numerical analysis
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English
27
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Glasserman, Paul
2
Hafner, Reinhold
2
Joshi, Mark S.
2
Korn, Ralf
2
Oosterlee, Cornelis Willebrordus
2
Piterbarg, Vladimir V.
2
Rebonato, Riccardo
2
Schoenmakers, John
2
Andersen, Leif B. G.
1
Bhuruth, Muddun
1
Brotherton-Ratcliffe, Rupert
1
Brunner, Bernhard
1
Coonjobeharry, Radha Krishn
1
Coskun, Sema
1
Daluiso, Roberto
1
Denson, Nick
1
Desmettre, Sascha
1
Gogala, Jaka
1
Grzelak, Lech A.
1
Jaeckel, Peter
1
Kennedy, Joanne E.
1
Kiesel, Rüdiger
1
Kurbanmuradov, O.
1
Liang, Qian
1
Luján Fernández, Ignacio
1
Lutz, Matthias
1
Merener, Nicolas
1
Miltersen, Kristian R.
1
Papapantoleon, Antonis
1
Reisinger, Christoph
1
Ruijter, Marjon
1
Sabelfeld, K.
1
Sidenius, Jakob
1
Skovmand, David
1
Steiner, Manfred
1
Takahashi, Akihiko
1
Tangman, Désiré Yannick
1
Tsuzuki, Yukihiro
1
Versteegh, M.
1
Vilsmeier, Johannes
1
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The journal of computational finance
International journal of theoretical and applied finance
42
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Review of derivatives research
22
Applied mathematical finance
19
The journal of futures markets
19
Quantitative finance
18
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
European journal of operational research : EJOR
10
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
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
SpringerLink / Bücher
8
Discussion papers of interdisciplinary research project 373
7
Finance research letters
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)
27
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1
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:
2
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
3
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
4
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
5
From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A.
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
Saved in:
6
A new improvement scheme for approximation methods of probability density functions
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 73-94
Persistent link: https://www.econbiz.de/10011603189
Saved in:
7
Updating the option implied probability of default methodology
Vilsmeier, Johannes
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
Saved in:
8
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
9
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
10
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon
;
Versteegh, M.
;
Oosterlee, Cornelis …
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
Saved in:
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