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~isPartOf:"Annals of finance"
~isPartOf:"Quantitative finance"
~person:"Asmussen, Søren"
~person:"Gatheral, Jim"
~person:"Gulisashvili, Archil"
~person:"Hainaut, Donatien"
~subject:"Volatilität"
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Volatilität
Option pricing theory
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Asmussen, Søren
Gatheral, Jim
Gulisashvili, Archil
Hainaut, Donatien
Radoičić, Radoš
4
Schoutens, Wim
4
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
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3
Pirjol, Dan
3
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3
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2
Alòs, Elisa
2
Bayer, Christian
2
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2
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2
D'Addona, Stefano
2
De Marco, Stefano
2
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Fouque, Jean-Pierre
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Friz, Peter K.
2
Funahashi, Hideharu
2
Garces, Len Patrick Dominic M.
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Suzuki, Masataka
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Yamazaki, Akira
2
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2
Ziveyi, Jonathan
2
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Annals of finance
Quantitative finance
International journal of theoretical and applied finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Economic modelling
1
Finance and stochastics
1
Insurance / Mathematics & economics
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative finance and economics
1
Springer Finance
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The journal of computational finance
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ECONIS (ZBW)
11
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1
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
2
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
Annals of finance
20
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
Saved in:
3
A generalization of the rational rough Heston approximation
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
Saved in:
4
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
5
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
6
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
7
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil
;
Horvath, Blanka Nora
;
Jacquier, …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
Saved in:
8
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
9
The Zumbach effect under rough Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
Saved in:
10
Extreme-strike asymptotics for general Gaussian stochastic volatility models
Gulisashvili, Archil
;
Viens, Frederi G.
;
Zhang, Xin
- In:
Annals of finance
15
(
2019
)
1
,
pp. 59-101
Persistent link: https://www.econbiz.de/10012058191
Saved in:
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