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~isPartOf:"Applied economics"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
~subject:"Rohstoffderivat"
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Option pricing theory
Rohstoffderivat
Derivat
88
Derivative
88
Optionspreistheorie
43
Theorie
24
Theory
24
Volatility
18
Volatilität
18
Hedging
17
Stochastic process
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Stochastischer Prozess
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Credit risk
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Zinsderivat
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Option trading
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Optionsgeschäft
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Crépey, Stéphane
2
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2
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2
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1
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Applied economics
The journal of computational finance
International journal of theoretical and applied finance
102
Energy economics
67
Applied mathematical finance
62
The journal of futures markets
49
Review of derivatives research
44
Quantitative finance
42
Journal of banking & finance
38
European journal of operational research : EJOR
30
Journal of mathematical finance
30
International review of financial analysis
28
The European journal of finance
25
International journal of financial engineering
24
International review of economics & finance : IREF
24
Finance research letters
23
Risks : open access journal
23
Finance and stochastics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Applied economics letters
21
Journal of economic dynamics & control
21
The North American journal of economics and finance : a journal of financial economics studies
21
The journal of derivatives : JOD
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Economic modelling
17
SpringerLink / Bücher
17
Computational economics
16
Journal of risk and financial management : JRFM
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Journal of econometrics
15
Annals of finance
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Insurance / Mathematics & economics
14
The energy journal
13
NBER working paper series
12
Wiley finance series
12
American journal of agricultural economics
11
International journal of financial markets and derivatives
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Journal of commodity markets
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SFB 649 discussion paper
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Journal of empirical finance
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ECONIS (ZBW)
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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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