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~isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of financial engineering"
~subject:"Stochastic process"
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Stochastic process
Derivat
110
Derivative
110
Option pricing theory
101
Optionspreistheorie
101
Stochastischer Prozess
47
Volatility
45
Volatilität
45
Theorie
40
Theory
40
Option trading
32
Optionsgeschäft
32
Yield curve
28
Zinsstruktur
28
Interest rate derivative
25
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25
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23
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Sabino, Piergiacomo
3
Eberlein, Ernst
2
Funahashi, Hideharu
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2
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2
Leung, Tim
2
Oosterlee, Cornelis Willebrordus
2
Aghili, A.
1
Ahlip, Rehez
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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1
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1
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Applied mathematical finance
International journal of financial engineering
International journal of theoretical and applied finance
70
Energy economics
22
Quantitative finance
22
The journal of computational finance
18
Finance and stochastics
17
Journal of banking & finance
17
Review of derivatives research
17
The journal of futures markets
17
Journal of mathematical finance
16
European journal of operational research : EJOR
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Journal of econometrics
14
Journal of economic dynamics & control
14
Annals of finance
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
Finance research letters
8
Risks : open access journal
8
The North American journal of economics and finance : a journal of financial economics studies
8
Insurance / Mathematics & economics
7
The European journal of finance
7
Applied economics
6
Computational economics
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
SSE EFI working paper series in economics and finance
6
Journal of financial economics
5
Journal of risk and financial management : JRFM
5
Mathematical finance
5
SFB 649 discussion paper
5
The journal of derivatives : JOD
5
Working paper
5
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
4
Asia-Pacific financial markets
4
Asia-Pacific journal of financial studies
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Discussion paper / Tinbergen Institute
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Econometric Institute research papers
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Journal of empirical finance
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ECONIS (ZBW)
47
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
Stochastic method of dynamic hedging applied to the high liquid asset markets
Romanov, Maksim Y.
;
Vavilov, Sergey A.
- In:
International journal of financial engineering
10
(
2023
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014444714
Saved in:
3
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
4
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
5
Hybrid Lévy models : design and computational aspects
Eberlein, Ernst
;
Rudmann, Marcus
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
Saved in:
6
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
7
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
8
A stochastic control approach to managed
futures
portfolios
Leung, Tim
;
Yan, Raphael
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012028856
Saved in:
9
Optimal dynamic
futures
portfolio in a regime-switching market framework
Leung, Tim
;
Zhou, Yang
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
Saved in:
10
Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe
;
Reutenauer, Victor
;
Talay, Denis
; …
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
Saved in:
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