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~isPartOf:"Applied mathematical finance"
~subject:"Derivat"
~subject:"Volatilität"
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Derivat
Volatilität
Option pricing theory
70
Optionspreistheorie
70
Stochastic process
40
Stochastischer Prozess
40
Volatility
22
Derivative
21
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18
Optionsgeschäft
18
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12
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implied volatility
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stochastic volatility
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Sabino, Piergiacomo
3
Alòs, Elisa
2
Carr, Peter
2
Cohen, Samuel N.
2
Lyons, Terry
2
Nejad, Sina
2
Pirjol, Dan
2
Pravosud, Makar
2
Reisinger, Christoph
2
Wang, Sheng
2
Zheng, Wendong
2
Arribas, Imanol Perez
1
Baptiste, Julien
1
Benth, Fred Espen
1
Bossu, Sébastien
1
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1
Brody, Dorje C.
1
Chiu, Chun-Yuan
1
Cont, Rama
1
Cufaro Petroni, Nicola
1
Dang, Duy Minh
1
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1
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1
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1
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1
Fouque, Jean-Pierre
1
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1
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1
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1
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1
Hu, Ruimeng
1
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1
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Applied mathematical finance
Quantitative finance
115
International journal of theoretical and applied finance
82
International journal of financial engineering
54
The journal of computational finance
52
Finance research letters
47
The North American journal of economics and finance : a journal of financial economics studies
42
Computational economics
41
European journal of operational research : EJOR
41
Journal of banking & finance
41
Journal of mathematical finance
38
Review of derivatives research
33
The journal of futures markets
31
Journal of economic dynamics & control
28
Finance and stochastics
27
Journal of econometrics
24
The journal of derivatives : JOD
23
Energy economics
22
International review of economics & finance : IREF
21
Annals of finance
20
Insurance / Mathematics & economics
20
Applied economics
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SpringerLink / Bücher
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Management science : journal of the Institute for Operations Research and the Management Sciences
15
The European journal of finance
15
Applied economics letters
14
Decisions in economics and finance : DEF ; a journal of applied mathematics
14
Economic modelling
13
Mathematics and financial economics
13
Review of quantitative finance and accounting
13
International journal of theoretical and applied finance : IJTAF
12
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
12
Economics letters
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
International review of financial analysis
10
Journal of empirical finance
10
Journal of financial economics
10
Research paper series / Swiss Finance Institute
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
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
Saved in:
9
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:
10
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
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