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~isPartOf:"Applied economics"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
~subject:"Rohstoffderivat"
~subject:"Share price"
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Option pricing theory
Rohstoffderivat
Share price
Derivat
88
Derivative
88
Optionspreistheorie
43
Theorie
24
Theory
24
Volatility
18
Volatilität
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Crépey, Stéphane
2
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Applied economics
The journal of computational finance
International journal of theoretical and applied finance
103
The journal of futures markets
94
Energy economics
68
Applied mathematical finance
63
Journal of banking & finance
55
Review of derivatives research
46
Quantitative finance
45
International review of financial analysis
37
European journal of operational research : EJOR
30
International review of economics & finance : IREF
30
Journal of mathematical finance
30
The European journal of finance
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Finance research letters
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Applied economics letters
27
International journal of financial engineering
26
The North American journal of economics and finance : a journal of financial economics studies
26
Risks : open access journal
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Economic modelling
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Journal of economic dynamics & control
21
The journal of derivatives : JOD
20
Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research
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The journal of finance : the journal of the American Finance Association
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Journal of econometrics
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Journal of risk and financial management : JRFM
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SpringerLink / Bücher
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Computational economics
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Annals of finance
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NBER working paper series
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Journal of commodity markets
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ECONIS (ZBW)
54
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1
Should dominant contracts move to nearby months? : evidence from Chinese agricultural futures markets
Xie, Wei
;
Yi An
- In:
Applied economics
55
(
2023
)
41
,
pp. 4817-4840
Persistent link: https://www.econbiz.de/10014334766
Saved in:
2
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
Saved in:
3
Minimum-variance hedging of Bitcoin inverse futures
Deng, Jun
;
Pan, Huifeng
;
Zhang, Shuyu
;
Zou, Bin
- In:
Applied economics
52
(
2020
)
58
,
pp. 6320-6337
Persistent link: https://www.econbiz.de/10012415993
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Speculation and food-grain prices
Lawson, Joshua
;
Alam, Md Rafayet
;
Etienne, Xiaoli Liao
- In:
Applied economics
53
(
2021
)
20
,
pp. 2305-2321
Persistent link: https://www.econbiz.de/10012501199
Saved in:
10
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
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