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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Risikomaß"
~subject:"Volatilität"
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Risikomaß
Volatilität
Option pricing theory
21
Optionspreistheorie
21
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12
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12
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10
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9
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9
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Delage, Erick
2
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1
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1
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1
Bunn, Derek W.
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Ngo, Julie T. D.
1
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1
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1
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1
Sit, Tony
1
Thomas, Charles P.
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Applied economics
Quantitative finance
The European journal of finance
NBER working paper series
48
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39
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35
Research paper series / Swiss Finance Institute
34
Journal of risk and financial management : JRFM
30
Working paper / National Bureau of Economic Research, Inc.
22
Discussion paper / Tinbergen Institute
20
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20
SFB 649 discussion paper
17
CREATES research paper
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10
Staff reports / Federal Reserve Bank of New York
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Cogent economics & finance
9
FEDS Working Paper
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Financial innovation : FIN
9
The journal of futures markets
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8
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7
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Working paper / Department of Econometrics and Business Statistics, Monash University
6
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6
Birkbeck working papers in economics and finance : BWPEF
5
Borsa Istanbul Review
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ECONIS (ZBW)
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1
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
2
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
3
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
4
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
5
Deep reinforcement learning for option
pricing
and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
6
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
7
Equal risk
pricing
and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
8
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
9
VIX
pricing
in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
10
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
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