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~isPartOf:"Annals of finance"
~isPartOf:"Quantitative finance"
~person:"Asmussen, Søren"
~person:"Gatheral, Jim"
~person:"Gulisashvili, Archil"
~person:"SenGupta, Indranil"
~subject:"Volatilität"
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Volatilität
Option pricing theory
10
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9
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Asmussen, Søren
Gatheral, Jim
Gulisashvili, Archil
SenGupta, Indranil
Radoičić, Radoš
4
Schoutens, Wim
4
Felpel, Mike
3
Hainaut, Donatien
3
Horvath, Blanka Nora
3
Jacquier, Antoine
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3
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3
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3
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2
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2
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2
Chatterjee, Rupak
2
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2
D'Addona, Stefano
2
De Marco, Stefano
2
Escobar, Marcos
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Fouque, Jean-Pierre
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Friz, Peter K.
2
Funahashi, Hideharu
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Yamazaki, Akira
2
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2
Ziveyi, Jonathan
2
Aase Nielsen, Jørgen
1
AbaOud, Mohammed A.
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Annals of finance
Quantitative finance
International journal of theoretical and applied finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Annals of financial economics
1
Finance and stochastics
1
International journal of financial engineering
1
Mathematics and financial economics
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
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The journal of computational finance
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ECONIS (ZBW)
10
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging
Salmon, Nicholas
;
SenGupta, Indranil
- In:
Annals of finance
17
(
2021
)
4
,
pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
Saved in:
7
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:
8
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:
9
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:
10
Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Issaka, Aziz
;
SenGupta, Indranil
- In:
Annals of finance
13
(
2017
)
4
,
pp. 401-434
Persistent link: https://www.econbiz.de/10011945581
Saved in:
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