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~isPartOf:"Applied mathematical finance"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Finance and stochastics"
~person:"Sircar, Kaushik Ronnie"
~source:"econis"
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Option pricing theory
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Optionspreistheorie
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Stochastic process
4
Stochastischer Prozess
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Volatility
3
Volatilität
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Credit risk
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Derivat
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Sircar, Kaushik Ronnie
Carr, Peter
8
Eberlein, Ernst
8
Benth, Fred Espen
7
Cui, Zhenyu
6
Hobson, David G.
6
Elliott, Robert J.
5
Filipović, Damir
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Fusai, Gianluca
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Glau, Kathrin
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Kabanov, Jurij M.
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Lee, Roger
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Escobar, Marcos
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Howison, Sam
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Kallsen, Jan
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Li, Lingfei
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Linetsky, Vadim
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Madan, Dilip B.
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Marazzina, Daniele
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Nguyen, Duy
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Obłój, Jan
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Sabino, Piergiacomo
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Shiraya, Kenichiro
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Siu, Tak Kuen
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Bermin, Hans-Peter
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Applied mathematical finance
European journal of operational research : EJOR
Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Asia-Pacific financial markets
1
Energy economics
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
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2
Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre
;
Lorig, Matthew
;
Sircar, Kaushik Ronnie
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
Saved in:
3
Implied volatility of leveraged ETF options
Leung, Tim
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
Saved in:
4
Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
16
(
2009
)
3/4
,
pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
Saved in:
5
Multiscale intensity models for single name credit derivatives
Papageorgiou, E.
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
15
(
2008
)
1/2
,
pp. 73-105
Persistent link: https://www.econbiz.de/10003751113
Saved in:
6
Stochastic volatility, smile & asymptotics
Sircar, Kaushik Ronnie
;
Papanicolaou, George
- In:
Applied mathematical finance
6
(
1999
)
2
,
pp. 107-145
Persistent link: https://www.econbiz.de/10001449244
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