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~isPartOf:"Applied economics"
~isPartOf:"Lecture notes in economics and mathematical systems : LNEMS"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
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Option pricing theory
Derivat
96
Derivative
96
Optionspreistheorie
52
Theorie
35
Theory
35
Volatility
21
Volatilität
21
Stochastic process
19
Stochastischer Prozess
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18
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Hedging
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Derivat <Wertpapier>
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Finanzmathematik
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Crépey, Stéphane
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Escobar, Marcos
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Hafner, Reinhold
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Kandhai, Drona
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1
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1
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1
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1
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1
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Applied economics
Lecture notes in economics and mathematical systems : LNEMS
The journal of computational finance
International journal of theoretical and applied finance
101
Applied mathematical finance
61
Review of derivatives research
44
Quantitative finance
42
The journal of futures markets
35
European journal of operational research : EJOR
30
Journal of banking & finance
30
Journal of mathematical finance
30
International journal of financial engineering
24
Energy economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Journal of economic dynamics & control
21
Risks : open access journal
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Finance and stochastics
20
The European journal of finance
20
The North American journal of economics and finance : a journal of financial economics studies
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The journal of derivatives : JOD
20
Finance research letters
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Computational economics
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Journal of econometrics
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SpringerLink / Bücher
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Applied economics letters
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Insurance / Mathematics & economics
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International review of financial analysis
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International review of economics & finance : IREF
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Annals of finance
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Journal of risk and financial management : JRFM
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SFB 649 discussion paper
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Wiley finance series
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Research paper series / Swiss Finance Institute
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Economic modelling
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Asia-Pacific financial markets
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Journal of financial economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
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2
Spot market and derivative segment of equity in India
Sharma, Dheeraj P.
;
Ahalawat, Shweta
;
Patro, Archana
; …
- In:
Applied economics
54
(
2022
)
3
,
pp. 326-339
Persistent link: https://www.econbiz.de/10012874036
Saved in:
3
Directly pricing VIX futures : the role of dynamic volatility and jump intensity
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
Applied economics
54
(
2022
)
32
,
pp. 3678-3694
Persistent link: https://www.econbiz.de/10013410814
Saved in:
4
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
5
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
6
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
7
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
8
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
9
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
10
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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