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~isPartOf:"Applied mathematical finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working papers"
~subject:"Martingale"
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Martingale
Option pricing theory
316
Optionspreistheorie
316
Volatility
113
Volatilität
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Stochastic process
112
Stochastischer Prozess
112
Derivat
78
Derivative
78
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Hedging
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Schätztheorie
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Credit risk
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stochastic volatility
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Albrecher, H.
1
Bollerslev, Tim
1
Bouzianis, George
1
Cheang, Gerald H. L.
1
Chen, Qiang
1
Chevalier, Etienne
1
Chiarella, Carl
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Criens, David
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Fouque, Jean-Pierre
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Hess, Markus
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1
Pan, Zhiyuan
1
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1
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Applied mathematical finance
Journal of econometrics
Working papers
Finance and stochastics
32
International journal of theoretical and applied finance
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
Research paper series / Swiss Finance Institute
8
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7
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Swiss Finance Institute Research Paper
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4
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Annals of finance
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Journal of risk and financial management : JRFM
3
Mathematics of operations research
3
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3
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
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2
European journal of operational research : EJOR
2
Journal of economic dynamics & control
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The journal of computational finance
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Astin bulletin : the journal of the International Actuarial Association
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Brazilian review of econometrics : the review of the Brazilian Econometric Society
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
Saved in:
8
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
9
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
10
On the minimal entropy martingale measure and multinomial lattices with cumulants
Ssebugenyi, Cyrus Seera
;
Mwaniki, Ivivi Joseph
; …
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 359-379
Persistent link: https://www.econbiz.de/10010187658
Saved in:
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