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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Derivat"
~subject:"Optionspreistheorie"
~subject:"Portfolio selection"
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Derivat
Optionspreistheorie
Portfolio selection
Option pricing theory
68
Stochastic process
38
Stochastischer Prozess
38
Derivative
21
Volatility
20
Volatilität
20
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Sabino, Piergiacomo
4
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3
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2
Carr, Peter
2
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2
Dang, Duy Minh
2
Gardini, Matteo
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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Applied mathematical finance
Quantitative finance
174
International journal of theoretical and applied finance
148
International journal of financial engineering
102
The journal of computational finance
91
Finance research letters
80
Computational economics
78
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
55
SpringerLink / Bücher
45
Journal of economic dynamics & control
44
Energy economics
34
The journal of derivatives : JOD
32
International review of economics & finance : IREF
30
Journal of econometrics
30
Applied economics
29
Mathematics and financial economics
29
Research paper series / Swiss Finance Institute
28
The European journal of finance
28
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
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20
Mathematics of operations research
20
Asia-Pacific financial markets
19
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Discussion paper / Centre for Economic Policy Research
19
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)
68
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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
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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
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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
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:
7
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:
8
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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9
Risk neutral jump arrival rates implied in option prices and their models
Madan, Dilip B.
;
Wang, King
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 201-235
Persistent link: https://www.econbiz.de/10013171070
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10
KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike
;
Saporito, Yuri
- In:
Applied mathematical finance
28
(
2021
)
4
,
pp. 330-360
Persistent link: https://www.econbiz.de/10013411700
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