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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~subject:"Derivat"
~subject:"Portfolio selection"
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Derivat
Portfolio selection
Option pricing theory
68
Optionspreistheorie
68
Stochastic process
38
Stochastischer Prozess
38
Derivative
21
Volatility
20
Volatilität
20
Option trading
17
Optionsgeschäft
17
Hedging
12
Simulation
9
Black-Scholes model
8
Black-Scholes-Modell
8
Portfolio-Management
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Yield curve
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Zinsstruktur
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CAPM
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Martingal
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Martingale
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Statistical distribution
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Monte-Carlo-Simulation
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Credit risk
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Interest rate derivative
5
Kreditrisiko
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Zinsderivat
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Energiemarkt
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Energy market
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Lévy processes
4
Risiko
4
Risk
4
stochastic volatility
4
Analysis
3
Greece
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27
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Sabino, Piergiacomo
3
Cohen, Samuel N.
2
Lyons, Terry
2
Nejad, Sina
2
Reisinger, Christoph
2
Wang, Sheng
2
Arai, Takuji
1
Arribas, Imanol Perez
1
Baldeaux, Jan
1
Benth, Fred Espen
1
Bossu, Sébastien
1
Bouveret, Géraldine
1
Bouzianis, George
1
Chiu, Chun-Yuan
1
Cont, Rama
1
Cufaro Petroni, Nicola
1
Eberlein, Ernst
1
Figueroa-López, José E.
1
Fouque, Jean-Pierre
1
Fung, Man Chung
1
Gardini, Matteo
1
Gong, Ruoting
1
Houdré, Christian
1
Hu, Ruimeng
1
Hughston, Lane P.
1
Ignatieva, Ekaterina
1
Imai, Yuto
1
Jain, Shashi
1
Joshi, Mark S.
1
Karlsson, Patrik
1
Kercheval, Alec
1
Kirkby, J. Lars
1
Michel, Christophe
1
Ménassé, Clément
1
Okhrati, Ramin
1
Oosterlee, Cornelis Willebrordus
1
Papanicolaou, A.
1
Perez Arribas, Imanol
1
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1
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Applied mathematical finance
International journal of theoretical and applied finance
49
Quantitative finance
38
International journal of financial engineering
30
European journal of operational research : EJOR
27
Insurance / Mathematics & economics
25
Journal of mathematical finance
24
Review of derivatives research
24
SpringerLink / Bücher
21
Finance research letters
20
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
17
The North American journal of economics and finance : a journal of financial economics studies
16
Computational economics
13
Applied economics letters
12
International review of economics & finance : IREF
12
Energy economics
11
International review of financial analysis
11
Mathematics and financial economics
11
The journal of futures markets
11
Journal of econometrics
10
The European journal of finance
9
Annals of finance
8
Applied economics
8
Mathematical finance : an international journal of mathematics, statistics and financial economics
8
Scandinavian actuarial journal
7
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematics of operations research
6
Operations research letters
6
Research paper series / Swiss Finance Institute
6
The journal of asset management
6
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
5
Asia-Pacific financial markets
5
Economic modelling
5
Economics letters
5
Journal of financial economics
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
27
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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
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:
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
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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