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subject:"Portfolio selection"
~language:"eng"
~person:"Gouriéroux, Christian"
~person:"Hull, John"
~person:"Platen, Eckhard"
~subject:"Derivat"
~subject:"Option pricing theory"
~subject:"USA"
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Portfolio selection
Derivat
Option pricing theory
USA
Derivative
89
Theorie
49
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49
Optionspreistheorie
36
CAPM
35
Hedging
22
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18
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16
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15
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Method of moments
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Derivat <Wertpapier>
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Gouriéroux, Christian
Hull, John
Platen, Eckhard
Fabozzi, Frank J.
68
Lien, Da-hsiang Donald
50
Benth, Fred Espen
41
Jarrow, Robert A.
40
Broll, Udo
30
Kit, Pong Wong
27
Härdle, Wolfgang
25
White, Alan
24
Wolfers, Justin
24
Brigo, Damiano
23
Carr, Peter
23
Chance, Don M.
23
Joshi, Mark S.
23
Madan, Dilip B.
23
Shiller, Robert J.
23
Subrahmanyam, Marti G.
23
Irwin, Scott H.
22
Kolb, Robert W.
22
McAleer, Michael
22
Stulz, René M.
22
Kavussanos, Manolis G.
21
Acharya, Viral V.
20
Brooks, Robert
20
Leung, Tim
20
Prokopczuk, Marcel
20
Whaley, Robert E.
20
Duffie, Darrell
19
Choudhry, Moorad
18
García, Philip
18
Perrakis, Stylianos
18
Puttonen, Vesa
18
Ryu, Doojin
18
Schoutens, Wim
18
Till, Hilary
18
Chiarella, Carl
17
Figlewski, Stephen
17
Guirguis, Michel
17
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Journal of econometrics
4
Asia-Pacific financial markets
3
Journal of financial and quantitative analysis : JFQA
3
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3
The journal of credit risk : published quarterly by Incisive Media
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3
Always learning
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Prentice-Hall international editions
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2
Swiss Finance Institute Research Paper
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1
Econometric theory
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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International journal of theoretical and applied finance
1
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Operations research letters
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ECONIS (ZBW)
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Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Bauer, Daniel
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 208-211
Persistent link: https://www.econbiz.de/10014306953
Saved in:
2
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
-
2021
Persistent link: https://www.econbiz.de/10012614604
Saved in:
3
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
Saved in:
4
Options, futures, and other derivatives
Hull, John
-
2022
-
Eleventh edition, global edition
Persistent link: https://www.econbiz.de/10014330158
Saved in:
5
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
-
2019
Persistent link: https://www.econbiz.de/10012237262
Saved in:
6
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
6
,
pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
Saved in:
7
Deep hedging of derivatives using reinforcement learning
Cao, Jay
;
Chen, Jacky
;
Hull, John
;
Poulos, Zissis
- In:
The journal of financial data science
3
(
2021
)
1
,
pp. 10-27
Persistent link: https://www.econbiz.de/10012486250
Saved in:
8
Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts
Platen, Eckhard
;
Taylor, David
-
2016
Persistent link: https://www.econbiz.de/10011778139
Saved in:
9
Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers
Fergusson, Kevin
-
2015
Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and...
Persistent link: https://www.econbiz.de/10013012294
Saved in:
10
Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344235
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