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~isPartOf:"Applied economics"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Risk"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject:"PRICING"
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Risk
Volatilität
Option pricing theory
312
Optionspreistheorie
312
CAPM
226
Theorie
174
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174
Volatility
169
Stochastic process
144
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144
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Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
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Jacquier, Antoine
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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
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Muguruza, Aitor
2
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2
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2
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2
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2
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Applied economics
Discussion paper / Tinbergen Institute
Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
192
Journal of banking & finance
148
Journal of financial economics
111
Finance research letters
103
Applied mathematical finance
93
The journal of futures markets
89
Mathematical finance : an international journal of mathematics, statistics and financial theory
86
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71
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69
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68
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66
Review of derivatives research
65
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65
European journal of operational research : EJOR
64
International review of economics & finance : IREF
62
Journal of economic dynamics & control
62
Energy economics
58
International review of financial analysis
57
Finance and stochastics
56
Management science : journal of the Institute for Operations Research and the Management Sciences
55
The journal of finance : the journal of the American Finance Association
54
International journal of financial engineering
53
Insurance / Mathematics & economics
52
Economic modelling
45
The journal of derivatives : the official publication of the International Association of Financial Engineers
45
Annals of finance
44
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Review of quantitative finance and accounting
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Risks : open access journal
41
Economics letters
38
Journal of financial and quantitative analysis : JFQA
36
Journal of risk and financial management : JRFM
36
Applied financial economics
33
Pacific-Basin finance journal
31
Mathematics and financial economics
30
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
211
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211
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
5
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:
6
Estimation risk and the implicit value of index-tracking
Clark, Brian
;
Edirisinghe, Chanaka
;
Simaan, Majeed
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
Saved in:
7
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
8
Option
pricing
in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
9
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
10
Deep reinforcement learning for option
pricing
and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
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