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subject:"Portfolio selection"
~isPartOf:"Applied mathematical finance"
~subject:"Hedging"
~subject:"Monte Carlo simulation"
~subject:"Option pricing theory"
~subject:"USA"
~type:"article"
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Portfolio selection
Hedging
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Option pricing theory
USA
Derivat
79
Derivative
79
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
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23
Theory
23
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23
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16
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Benth, Fred Espen
4
Sabino, Piergiacomo
3
Cohen, Samuel N.
2
Eberlein, Ernst
2
Howison, Sam
2
Lyons, Terry
2
Nejad, Sina
2
Reisinger, Christoph
2
Sircar, Kaushik Ronnie
2
Wang, Sheng
2
Zheng, Wendong
2
Alaton, Peter
1
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1
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1
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Cont, Rama
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Applied mathematical finance
The journal of futures markets
248
International journal of theoretical and applied finance
119
Journal of banking & finance
90
Energy economics
62
Review of derivatives research
51
Quantitative finance
50
The journal of finance : the journal of the American Finance Association
50
European journal of operational research : EJOR
40
Journal of financial economics
39
The journal of derivatives : the official publication of the International Association of Financial Engineers
38
Finance research letters
37
Journal of financial and quantitative analysis : JFQA
36
The journal of computational finance
36
International review of financial analysis
34
Journal of mathematical finance
33
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
The European journal of finance
33
Finance and stochastics
32
Advances in futures and options research : a research annual
31
The journal of fixed income
30
Journal of economic dynamics & control
29
International journal of financial engineering
28
International review of economics & finance : IREF
28
The North American journal of economics and finance : a journal of financial economics studies
27
Risks : open access journal
25
Applied economics
23
Applied financial economics
23
The journal of derivatives : JOD
23
The journal of structured finance
22
The review of financial studies
22
Computational economics
21
Journal of risk and financial management : JRFM
20
Review of quantitative finance and accounting
19
Applied economics letters
18
Insurance / Mathematics & economics
18
The financial review : the official publication of the Eastern Finance Association
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Annals of finance
17
Journal of multinational financial management
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
68
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1
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
2
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
3
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
4
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
5
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Saved in:
6
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
7
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
8
Non-parametric pricing and hedging of exotic derivatives
Lyons, Terry
;
Nejad, Sina
;
Perez Arribas, Imanol
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 457-494
Persistent link: https://www.econbiz.de/10012516168
Saved in:
9
Hedging strategies in commodity markets : rolling intrinsic and delta hedging for virtual power plants
Biegler-König, Richard
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 550-582
Persistent link: https://www.econbiz.de/10012516171
Saved in:
10
Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
Saved in:
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