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~isPartOf:"Applied mathematical finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"Working papers"
~subject:"ARCH-Modell"
~subject:"Martingale"
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Search: subject_exact:"Optionspreistheorie"
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ARCH-Modell
Martingale
Option pricing theory
371
Optionspreistheorie
371
Volatility
139
Volatilität
139
Stochastic process
126
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Bollerslev, Tim
2
Li, Bingxin
2
Xiu, Dacheng
2
Albrecher, H.
1
Amengual, Dante
1
Andreou, Panayiotis C.
1
Aït-Sahalia, Yacine
1
Baldovin, Fulvio
1
Bollen, Nicolas P. B.
1
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1
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1
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Applied mathematical finance
Journal of econometrics
Review of quantitative finance and accounting
Working papers
Finance and stochastics
32
International journal of theoretical and applied finance
28
The journal of futures markets
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
Journal of banking & finance
14
Quantitative finance
12
The North American journal of economics and finance : a journal of financial economics studies
11
Research paper series / Swiss Finance Institute
10
Journal of empirical finance
9
Review of derivatives research
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CREATES research paper
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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7
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Swiss Finance Institute Research Paper
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European journal of operational research : EJOR
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Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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Mathematical methods of operations research
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The review of financial studies
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Annals of finance
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International journal of forecasting
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Journal of economic dynamics & control
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The journal of computational finance
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Cogent economics & finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay
;
Cevik, Emrah Ismail
- In:
Review of quantitative finance and accounting
57
(
2021
)
4
,
pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
Saved in:
3
Explicit representations for utility indifference prices
Hess, Markus
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
Saved in:
4
Option-implied filtering : evidence from the GARCH option pricing model
Li, Bingxin
- In:
Review of quantitative finance and accounting
54
(
2020
)
3
,
pp. 1037-1057
Persistent link: https://www.econbiz.de/10012233110
Saved in:
5
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
6
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
7
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
8
Financial jeopardy
Madan, Dilip B.
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10011746988
Saved in:
9
Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
Criens, David
;
Glau, Kathrin
;
Grbac, Zorana
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10011746992
Saved in:
10
Approximate indifference pricing in exponential Lévy models
Ménassé, Clément
;
Tankov, Peter
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
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