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~accessRights:"restricted"
~isPartOf:"The journal of computational finance"
~subject:"Arbeitsmarkt"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Arbeitsmarkt
Option pricing theory
Schätzung
Optionspreistheorie
39
Volatility
39
Volatilität
39
Stochastic process
28
Stochastischer Prozess
28
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
Zins
3
variance swaps
3
Arbitrage
2
Cheyette model
2
Hamilton-Jacobi-Bellman (HJB) equation
2
Markov chain
2
Markov-Kette
2
Neural networks
2
Neuronale Netze
2
Portfolio selection
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39
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English
39
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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
Gourier, Elise
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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Published in...
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The journal of computational finance
Finance research letters
144
Energy economics
137
Quantitative finance
115
The North American journal of economics and finance : a journal of financial economics studies
113
Applied economics
105
International review of economics & finance : IREF
103
Economic modelling
93
Journal of econometrics
86
International review of financial analysis
82
Journal of banking & finance
79
Discussion paper / Centre for Economic Policy Research
77
Research in international business and finance
60
Economics letters
57
Applied economics letters
56
International journal of theoretical and applied finance
56
Journal of international financial markets, institutions & money
52
Journal of empirical finance
51
International journal of financial engineering
47
Journal of economic dynamics & control
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Working paper / National Bureau of Economic Research, Inc.
44
Computational economics
42
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 business & economic statistics : JBES ; a publication of the American Statistical Association
38
Journal of international money and finance
37
The journal of futures markets
37
Journal of financial econometrics
34
Labour economics : official journal of the European Association of Labour Economists
33
European journal of operational research : EJOR
32
Journal of mathematical finance
32
Management science : journal of the Institute for Operations Research and the Management Sciences
32
Pacific-Basin finance journal
32
The European journal of finance
32
International journal of finance & economics : IJFE
31
Journal of financial economics
31
Emerging markets, finance and trade : EMFT
29
Journal of financial markets
29
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ECONIS (ZBW)
39
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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
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
The forward smile in local-stochastic
volatility
models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
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