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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Derivat"
~subject:"Option pricing theory"
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Derivat
Option pricing theory
Optionspreistheorie
70
Stochastic process
40
Stochastischer Prozess
40
Volatility
22
Volatilität
22
Derivative
21
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18
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implied volatility
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Sabino, Piergiacomo
4
Eberlein, Ernst
3
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2
Baptiste, Julien
2
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2
Cohen, Samuel N.
2
Dang, Duy Minh
2
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2
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2
Kwok, Yue-Kuen
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2
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2
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2
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2
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2
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2
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2
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2
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2
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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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Applied mathematical finance
Quantitative finance
176
International journal of theoretical and applied finance
148
International journal of financial engineering
102
The journal of computational finance
91
Finance research letters
81
Computational economics
79
European journal of operational research : EJOR
77
Insurance / Mathematics & economics
72
The North American journal of economics and finance : a journal of financial economics studies
72
Journal of banking & finance
67
Finance and stochastics
65
Journal of mathematical finance
63
The journal of futures markets
57
Review of derivatives research
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Journal of economic dynamics & control
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Journal of econometrics
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The European journal of finance
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Annals of finance
26
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematical finance : an international journal of mathematics, statistics and financial economics
23
Management science : journal of the Institute for Operations Research and the Management Sciences
22
Review of quantitative finance and accounting
22
Journal of financial economics
21
Economic modelling
20
Mathematics of operations research
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Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Discussion paper / Centre for Economic Policy Research
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International review of financial analysis
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Applied economics letters
18
Swiss Finance Institute Research Paper
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International journal of theoretical and applied finance : IJTAF
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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
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo
;
Pacchiarotti, Barbara
;
Pigato, Paolo
- In:
Applied mathematical finance
30
(
2023
)
3
,
pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Saved in:
4
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
5
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:
6
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:
7
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:
8
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
Saved in:
9
Explicit representations for utility indifference prices
Hess, Markus
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
Saved in:
10
A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
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