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~isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Stochastic process"
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Stochastic process
Derivat
249
Derivative
249
Option pricing theory
183
Optionspreistheorie
183
Theorie
121
Theory
121
Stochastischer Prozess
100
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84
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84
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60
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60
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54
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49
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49
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48
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Hess, Markus
4
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3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Rosa-Clot, Marco
2
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2
Taddei, Stefano
2
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2
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2
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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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1
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Applied mathematical finance
International journal of theoretical and applied finance
Energy economics
22
Quantitative finance
22
The journal of computational finance
18
Finance and stochastics
17
International journal of financial engineering
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
4
Discussion paper / Tinbergen Institute
4
Econometric Institute research papers
4
Journal of empirical finance
4
Mathematics and financial economics
4
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ECONIS (ZBW)
100
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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
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
3
Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
Saved in:
4
Volatility and liquidity on high-frequency electricity
futures
markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
5
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
6
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
7
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:
8
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:
9
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
10
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
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