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subject:"Risk management"
~isPartOf:"Financial stability review : FSR"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~subject:"Kreditderivat"
~subject:"Volatilität"
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Risk management
Kreditderivat
Volatilität
Derivat
229
Derivative
229
Option pricing theory
106
Optionspreistheorie
106
Theorie
85
Theory
85
Credit risk
62
Kreditrisiko
62
Stochastic process
61
Stochastischer Prozess
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Brigo, Damiano
4
Benth, Fred Espen
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Jeanblanc, Monique
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Pallavicini, Andrea
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2
Crépey, S.
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Fouque, Jean-Pierre
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Hok, Julien
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1
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1
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1
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1
Bansal, Matulya
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Barone, Gaia
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1
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1
Dimitroff, Georgi
1
DoRosário, João Sobral
1
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1
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Financial stability review : FSR
International journal of theoretical and applied finance
The journal of credit risk : published quarterly by Incisive Media
The journal of futures markets
79
Journal of banking & finance
57
Energy economics
54
International review of financial analysis
39
International review of economics & finance : IREF
32
Finance research letters
31
Quantitative finance
29
Review of derivatives research
27
Applied mathematical finance
26
The European journal of finance
24
Research in international business and finance
20
European journal of operational research : EJOR
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Applied economics
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International journal of financial engineering
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of financial economics
17
Applied financial economics
16
Applied economics letters
15
Journal of econometrics
15
Journal of empirical finance
15
SpringerLink / Bücher
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Journal of financial markets
14
Journal of international financial markets, institutions & money
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Review of Pacific Basin financial markets and policies
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The journal of derivatives : the official publication of the International Association of Financial Engineers
14
Econometric Institute research papers
13
Economic modelling
13
Finance and stochastics
12
Journal of economic dynamics & control
12
Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of quantitative finance and accounting
12
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
12
Agricultural finance review
11
Insurance / Mathematics & economics
11
Journal of mathematical finance
11
Research paper series / Swiss Finance Institute
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Risks : open access journal
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Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
79
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1
A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan
;
Mi, Yanhui
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
2
,
pp. 27-63
Persistent link: https://www.econbiz.de/10014546386
Saved in:
2
Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
Saved in:
3
Credit exposure under the new standardized approach for counterparty credit risk : fixing the treatment of equity options
Kratochwill, Michael
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 31-60
Persistent link: https://www.econbiz.de/10012519960
Saved in:
4
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
5
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
6
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
7
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
8
Explaining credit ratings through a perpetual-debt structural model
Barone, Gaia
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012671409
Saved in:
9
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
10
Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
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