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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Journal of financial economics"
~subject:"Derivat"
~subject:"Portfolio selection"
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Derivat
Portfolio selection
Option pricing theory
89
Optionspreistheorie
89
Stochastic process
42
Stochastischer Prozess
42
Volatility
29
Volatilität
29
Option trading
27
Optionsgeschäft
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Derivative
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Sabino, Piergiacomo
3
Cohen, Samuel N.
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Lyons, Terry
2
Nejad, Sina
2
Reisinger, Christoph
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Wang, Sheng
2
Arai, Takuji
1
Arribas, Imanol Perez
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1
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Cont, Rama
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1
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1
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Applied mathematical finance
Journal of financial economics
International journal of theoretical and applied finance
49
Quantitative finance
39
International journal of financial engineering
31
European journal of operational research : EJOR
27
Insurance / Mathematics & economics
25
Journal of mathematical finance
24
Review of derivatives research
24
Finance research letters
22
SpringerLink / Bücher
21
The journal of computational finance
20
The journal of derivatives : JOD
20
Journal of banking & finance
18
Finance and stochastics
17
Journal of economic dynamics & control
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The North American journal of economics and finance : a journal of financial economics studies
16
Applied economics letters
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Computational economics
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International review of economics & finance : IREF
13
The journal of futures markets
12
Energy economics
11
International review of financial analysis
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Mathematics and financial economics
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Journal of econometrics
10
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
The European journal of finance
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Annals of finance
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Applied economics
8
Mathematics of operations research
7
Scandinavian actuarial journal
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Economic modelling
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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Research paper series / Swiss Finance Institute
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The journal of asset management
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
5
Asia-Pacific financial markets
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Economics letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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1
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
2
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
3
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
4
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
5
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
6
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Saved in:
7
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
8
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
9
Non-parametric pricing and hedging of exotic derivatives
Lyons, Terry
;
Nejad, Sina
;
Perez Arribas, Imanol
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 457-494
Persistent link: https://www.econbiz.de/10012516168
Saved in:
10
Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
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