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subject:"Portfolio selection"
~isPartOf:"Applied mathematical finance"
~subject:"Monte Carlo simulation"
~subject:"Option pricing theory"
~subject:"USA"
~type:"article"
~type_genre:"Article in journal"
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Portfolio selection
Monte Carlo simulation
Option pricing theory
USA
Derivat
80
Derivative
80
Optionspreistheorie
62
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
Theory
23
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Benth, Fred Espen
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Sabino, Piergiacomo
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Cohen, Samuel N.
2
Eberlein, Ernst
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2
Jaimungal, Sebastian
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Lyons, Terry
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Nejad, Sina
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Applied mathematical finance
The journal of futures markets
191
International journal of theoretical and applied finance
111
Journal of banking & finance
70
Quantitative finance
49
Review of derivatives research
46
The journal of finance : the journal of the American Finance Association
46
European journal of operational research : EJOR
38
The journal of computational finance
35
The journal of derivatives : the official publication of the International Association of Financial Engineers
35
Energy economics
33
Journal of financial and quantitative analysis : JFQA
33
Journal of mathematical finance
32
Finance and stochastics
31
Mathematical finance : an international journal of mathematics, statistics and financial theory
31
Journal of financial economics
30
Advances in futures and options research : a research annual
29
Finance research letters
27
The journal of fixed income
27
International journal of financial engineering
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Journal of economic dynamics & control
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The European journal of finance
25
Risks : open access journal
23
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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The journal of derivatives : JOD
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The journal of structured finance
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The review of financial studies
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International review of economics & finance : IREF
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Applied economics
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Insurance / Mathematics & economics
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The financial review : the official publication of the Eastern Finance Association
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Annals of finance
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Applied economics letters
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Applied financial economics
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Journal of econometrics
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Journal of risk and financial management : JRFM
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1
Robust risk-aware option hedging
Wu, David
;
Jaimungal, Sebastian
- In:
Applied mathematical finance
30
(
2023
)
3
,
pp. 153-174
Persistent link: https://www.econbiz.de/10015051231
Saved in:
2
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:
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
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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