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~isPartOf:"Applied economics"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
~subject:"Volatility"
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Option pricing theory
Volatility
Derivat
88
Derivative
88
Optionspreistheorie
43
Theorie
24
Theory
24
Volatilität
18
Hedging
17
Stochastic process
16
Stochastischer Prozess
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Credit risk
13
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Crépey, Stéphane
2
Escobar, Marcos
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Fouque, Jean-Pierre
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Kandhai, Drona
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2
Tangman, Désiré Yannick
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1
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Dang, Duy Minh
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Applied economics
The journal of computational finance
International journal of theoretical and applied finance
111
The journal of futures markets
90
Applied mathematical finance
66
Energy economics
51
Review of derivatives research
49
Journal of banking & finance
48
Quantitative finance
45
Finance research letters
33
International review of financial analysis
32
European journal of operational research : EJOR
31
Journal of mathematical finance
31
The European journal of finance
27
International journal of financial engineering
25
The North American journal of economics and finance : a journal of financial economics studies
25
International review of economics & finance : IREF
24
Applied economics letters
23
Finance and stochastics
23
Journal of economic dynamics & control
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
23
Risks : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
23
The journal of derivatives : JOD
22
Applied financial economics
18
Journal of econometrics
17
Computational economics
15
Journal of risk and financial management : JRFM
15
Research in international business and finance
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SpringerLink / Bücher
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Economic modelling
14
Insurance / Mathematics & economics
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Journal of empirical finance
14
SFB 649 discussion paper
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Econometric Institute research papers
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Research paper series / Swiss Finance Institute
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Annals of finance
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Discussion paper / Tinbergen Institute
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Journal of financial economics
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NBER working paper series
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ECONIS (ZBW)
49
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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
Saved in:
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 effects of transaction costs and illiquidity on the prices of volatility derivatives
Dilloo, Mehzabeen Jumanah
;
Tangman, Désiré Yannick
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 51-75
Persistent link: https://www.econbiz.de/10012672309
Saved in:
8
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:
9
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:
10
Is the corn futures market noisier? : the impact of high frequency quoting
Wang, Xiaoyang
;
García, Philip
;
Irwin, Scott H.
- In:
Applied economics
52
(
2020
)
25
,
pp. 2730-2750
Persistent link: https://www.econbiz.de/10012211091
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