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subject:"Portfolio selection"
~isPartOf:"Journal of mathematical finance"
~isPartOf:"Research paper series / Swiss Finance Institute"
~subject:"Correlation"
~subject:"Risk"
~type:"article"
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Portfolio selection
Correlation
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Derivat
39
Derivative
39
Option pricing theory
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Optionspreistheorie
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Stochastic process
15
Stochastischer Prozess
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Abdessalem, Mehdi Bekralas
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Huang, Jhe-Jheng
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Maboulou, Alma P. Bimbabou
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Journal of mathematical finance
Research paper series / Swiss Finance Institute
The journal of futures markets
30
International journal of theoretical and applied finance
27
Energy economics
23
Journal of banking & finance
20
European journal of operational research : EJOR
15
Finance research letters
14
Quantitative finance
14
International review of financial analysis
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Review of derivatives research
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Journal of financial and quantitative analysis : JFQA
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The journal of fixed income
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Advances in futures and options research : a research annual
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of financial engineering
9
The journal of derivatives : JOD
9
Risks : open access journal
8
The journal of asset management
8
Annals of finance
7
Applied economics
7
Insurance / Mathematics & economics
7
Journal of financial economics
7
The journal of credit risk : published quarterly by Incisive Media
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Economic modelling
6
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6
Journal of risk and financial management : JRFM
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The credit derivatives handbook : global perspectives, innovations, and market drivers
6
The journal of computational finance
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The journal of finance : the journal of the American Finance Association
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Asia-Pacific financial markets
5
Journal of risk management in financial institutions
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Research in international business and finance
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ECONIS (ZBW)
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1
Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
Saved in:
2
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
3
The call option pricing based on investment strategy with stochastic interest rate
Zhang, Xin
;
Shu, Huisheng
;
Kan, Xiu
;
Fang, Yingyi
; …
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 43-57
Persistent link: https://www.econbiz.de/10011846108
Saved in:
4
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang
;
Liu, Allen
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
Saved in:
5
Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 401-415
Persistent link: https://www.econbiz.de/10011583529
Saved in:
6
Foreign exchange derivative pricing with stochastic correlation
Nabirye, Topilista
;
Ngare, Philip
;
Mungatu, Joseph
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 887-899
Persistent link: https://www.econbiz.de/10011658109
Saved in:
7
Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Maboulou, Alma P. Bimbabou
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 273-285
Persistent link: https://www.econbiz.de/10011438513
Saved in:
8
On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
Saved in:
9
Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
Saved in:
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