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subject:"Portfolio selection"
~isPartOf:"Applied mathematical finance"
~subject:"Monte Carlo simulation"
~subject:"Option pricing theory"
~subject:"USA"
~type:"article"
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Portfolio selection
Monte Carlo simulation
Option pricing theory
USA
Derivat
79
Derivative
79
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
Theory
23
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16
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Benth, Fred Espen
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Nejad, Sina
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Applied mathematical finance
The journal of futures markets
194
International journal of theoretical and applied finance
111
Journal of banking & finance
71
Quantitative finance
47
The journal of finance : the journal of the American Finance Association
47
Review of derivatives research
46
European journal of operational research : EJOR
39
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
Journal of financial economics
31
Mathematical finance : an international journal of mathematics, statistics and financial theory
31
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
26
Journal of economic dynamics & control
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The European journal of finance
25
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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Risks : open access journal
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The journal of derivatives : JOD
22
The journal of structured finance
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The review of financial studies
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Computational economics
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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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The journal of business : B
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The journal of financial research
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
64
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21
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong
;
Zeng, Pingping
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
Saved in:
22
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
23
Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Saved in:
24
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen
;
Di Nunno, Giulia
;
Khedher, Asma
; …
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Saved in:
25
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan
;
Badran, Alexander
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Saved in:
26
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Saved in:
27
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
28
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
Saved in:
29
An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu
;
Kijima, Masaaki
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
Saved in:
30
A family of maximum entropy densities matching call option prices
Neri, Cassio
;
Schneider, Lorenz
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
Saved in:
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