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~isPartOf:"Applied mathematical finance"
~isPartOf:"Risks : open access journal"
~isPartOf:"The journal of computational finance"
~isPartOf:"The review of financial studies"
~isPartOf:"Working papers"
~person:"Desmettre, Sascha"
~person:"Eberlein, Ernst"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Search: subject_exact:"Optionspreistheorie"
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Stochastischer Prozess
Option pricing theory
9
Optionspreistheorie
9
Stochastic process
4
Interest rate derivative
3
Yield curve
3
Zinsderivat
3
Zinsstruktur
3
Derivat
2
Derivative
2
Lévy processes
2
Option trading
2
Optionsgeschäft
2
Volatility
2
Volatilität
2
time-inhomogeneous Lévy processes
2
Black-Scholes model
1
Black-Scholes-Modell
1
Discrete Asian options
1
Estimation
1
Estimation theory
1
Expected Shortfall
1
Fong-Vasicek (FV) model
1
Greece
1
Greeks and sensitivity analysis
1
Griechenland
1
Heath-Platen (HP) estimator
1
Heston model
1
Hybrid models
1
Lévy LIBOR model
1
Malliavin calculus
1
Monte Carlo method
1
Monte Carlo simulation
1
Monte-Carlo valuation
1
Monte-Carlo-Simulation
1
PIDEs
1
Portfolio selection
1
Portfolio-Management
1
Risikomaß
1
Risk measure
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Article in journal
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English
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Desmettre, Sascha
Eberlein, Ernst
Oosterlee, Cornelis Willebrordus
6
Escobar, Marcos
5
Sabino, Piergiacomo
5
Zagst, Rudi
5
Kirkby, J. Lars
4
Le Floc'h, Fabien
4
Reisinger, Christoph
4
Aguilar, Jean-Philippe
3
Chiarella, Carl
3
Ehrhardt, Matthias
3
Grzelak, Lech A.
3
Götz, Barbara
3
Hainaut, Donatien
3
Madan, Dilip B.
3
Renaud, Jean-François
3
Tankov, Peter
3
Zhou, Xiaowen
3
Benth, Fred Espen
2
Bojarčenko, Svetlana I.
2
Cheang, Gerald H. L.
2
Chevalier, Etienne
2
Di Persio, Luca
2
Elliott, Robert J.
2
Forsyth, Peter A.
2
Funahashi, Hideharu
2
Gardini, Matteo
2
Glau, Kathrin
2
Guerra, João
2
Günther, Michael
2
Hout, Karel J. in 't
2
Hughston, Lane P.
2
Jackson, Kenneth R.
2
Jaimungal, Sebastian
2
Kijima, Masaaki
2
Korbel, Jan
2
Lagunas-Merino, Marc
2
Levendorskij, Sergej Z.
2
Ludkovski, Mike
2
Mastroeni, Loretta
2
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Applied mathematical finance
Risks : open access journal
The journal of computational finance
The review of financial studies
Working papers
Insurance / Mathematics & economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
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ECONIS (ZBW)
4
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1
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:
2
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:
3
Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
4
Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst
;
Glau, Kathrin
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
Saved in:
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