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~isPartOf:"Applied mathematical finance"
~isPartOf:"The journal of computational finance"
~subject:"Derivat"
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Search: subject_exact:"Optionspreismodell"
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Derivat
Option pricing theory
161
Optionspreistheorie
161
Stochastic process
91
Stochastischer Prozess
91
Volatility
61
Volatilität
61
Option trading
45
Optionsgeschäft
45
Derivative
37
Black-Scholes model
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30
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stochastic volatility
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Yield curve
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Zinsstruktur
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Statistical distribution
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Kreditrisiko
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option pricing
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Heston model
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Interest rate derivative
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Lévy processes
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Martingal
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Martingale
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Sabino, Piergiacomo
3
Cohen, Samuel N.
2
Crépey, Stéphane
2
Jain, Shashi
2
Kandhai, Drona
2
Karlsson, Patrik
2
Lyons, Terry
2
Nejad, Sina
2
Oosterlee, Cornelis Willebrordus
2
Reisinger, Christoph
2
Wang, Sheng
2
Arribas, Imanol Perez
1
Benk, Janos
1
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1
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1
Bossu, Sébastien
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
Cont, Rama
1
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1
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Applied mathematical finance
The journal of computational finance
International journal of theoretical and applied finance
37
Quantitative finance
30
International journal of financial engineering
22
Review of derivatives research
22
The journal of derivatives : JOD
20
European journal of operational research : EJOR
19
Journal of mathematical finance
19
Finance research letters
16
SpringerLink / Bücher
15
The North American journal of economics and finance : a journal of financial economics studies
14
International review of economics & finance : IREF
13
Journal of banking & finance
13
Computational economics
12
Energy economics
12
Applied economics letters
11
The journal of futures markets
11
Finance and stochastics
10
Journal of economic dynamics & control
10
Insurance / Mathematics & economics
9
Journal of econometrics
9
International review of financial analysis
7
The European journal of finance
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Annals of finance
6
Applied economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematics and financial economics
6
Asia-Pacific financial markets
5
Mathematical finance : an international journal of mathematics, statistics and financial economics
5
Springer Texts in Business and Economics
5
The journal of asset management
5
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
4
Economic modelling
4
Economics letters
4
International journal of bonds and derivatives
4
Lecture Notes in Economics and Mathematical Systems
4
Operations research letters
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Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013
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The journal of risk model validation
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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
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
3
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:
4
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:
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
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
7
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
8
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:
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
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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