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~accessRights:"restricted"
~isPartOf:"The journal of computational finance"
~source:"econis"
~subject:"Arbeitsmarkt"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Arbeitsmarkt
Option pricing theory
Schätzung
Optionspreistheorie
40
Volatility
40
Volatilität
40
Stochastic process
29
Stochastischer Prozess
29
Black-Scholes model
12
Black-Scholes-Modell
12
stochastic volatility
12
Option trading
10
Optionsgeschäft
10
Experiment
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
option pricing
6
Analysis
5
Derivat
5
Derivative
5
Mathematical analysis
5
calibration
5
Heston model
4
Modellierung
4
Scientific modelling
4
Yield curve
4
Zinsstruktur
4
local volatility
4
Arbitrage Pricing
3
Arbitrage pricing
3
Interest rate
3
Malliavin calculus
3
Markov chain
3
Markov-Kette
3
Zins
3
variance swaps
3
Arbitrage
2
Cheyette model
2
Hamilton-Jacobi-Bellman (HJB) equation
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2
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English
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Le Floc'h, Fabien
3
Ehrhardt, Matthias
2
Günther, Michael
2
Jabłecki, Juliusz
2
Kirkby, J. Lars
2
Oosterlee, Cornelis Willebrordus
2
Reisinger, Christoph
2
Ahdida, Abdelkoddousse
1
Albani, Vinícius
1
Alfonsi, Aurélien
1
Ascher, Uri M.
1
Bain, Alan
1
Belak, Christoph
1
Benk, Janos
1
Bourgey, Florian
1
Briani, Maya
1
Caramellino, Lucia
1
Chataigner, Marc
1
Cozma, Andrei
1
Crépey, Stéphane
1
De Diego, Sergio
1
De Marco, Stefano
1
Deryabin, Mikhail
1
Drimus, Gabriel
1
Escobar, Marcos
1
Falck, Markus
1
Farkas, Walter
1
Ferreira, Eva
1
Forsyth, Peter A.
1
Gatarek, Dariusz
1
Glau, Kathrin
1
Gogala, Jaka
1
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1
Grossinho, Maria do Rosário
1
Grzelak, Lech A.
1
Guerra, João
1
Guerreiro, Henrique
1
Gulisashvili, Archil
1
Guyon, Julien
1
Haghi, Majid
1
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The journal of computational finance
Finance research letters
155
Energy economics
138
Quantitative finance
120
The North American journal of economics and finance : a journal of financial economics studies
113
International review of economics & finance : IREF
109
Applied economics
105
Economic modelling
94
Journal of econometrics
86
International review of financial analysis
85
Journal of banking & finance
79
Discussion paper / Centre for Economic Policy Research
77
Research in international business and finance
60
Applied economics letters
58
Economics letters
57
International journal of theoretical and applied finance
56
Journal of empirical finance
52
Journal of international financial markets, institutions & money
52
International journal of financial engineering
47
Journal of economic dynamics & control
47
Computational economics
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Working paper / National Bureau of Economic Research, Inc.
44
The journal of futures markets
41
Discussion papers / CEPR
40
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
40
International journal of forecasting
39
Journal of international money and finance
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
International journal of finance & economics : IJFE
35
Pacific-Basin finance journal
35
Journal of financial econometrics
34
European journal of operational research : EJOR
33
Labour economics : official journal of the European Association of Labour Economists
33
Management science : journal of the Institute for Operations Research and the Management Sciences
33
The European journal of finance
33
Journal of mathematical finance
32
Journal of financial economics
31
Journal of financial markets
30
Emerging markets, finance and trade : EMFT
29
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ECONIS (ZBW)
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40
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1
Least squares Monte Carlo methods in stochastic Volterra rough
volatility
models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
2
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
3
Analytical conversion between implied volatilities based on different dividend models
Lucic, Vladimir
;
Jovanović, Vladimir
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 103-120
Persistent link: https://www.econbiz.de/10014314571
Saved in:
4
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
5
Probabilistic machine learning for local
volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
6
An artificial neural network representation of the SABR stochastic
volatility
model
McGhee, William A.
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012938882
Saved in:
7
Expansion method for pricing foreign exchange options under stochastic
volatility
and interest rates
Nagami, Kenji
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 29-50
Persistent link: https://www.econbiz.de/10012938885
Saved in:
8
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
9
The extended SSVI
volatility
surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
10
The Chebyshev method for the implied
volatility
Glau, Kathrin
;
Herold, Paul
;
Madan, Dilip B.
;
Pötz, …
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
Saved in:
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