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~isPartOf:"Applied mathematical finance"
~person:"Benth, Fred Espen"
~person:"Dang, Duy Minh"
~person:"Konstandatos, Otto"
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Option pricing theory
8
Optionspreistheorie
8
Derivat
3
Derivative
3
Conditional Monte Carlo
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Risikoprämie
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Benth, Fred Espen
Dang, Duy Minh
Konstandatos, Otto
Eberlein, Ernst
6
Howison, Sam
4
Kwok, Yue-Kuen
4
Sabino, Piergiacomo
4
Sircar, Kaushik Ronnie
4
Zagst, Rudi
4
Atkinson, Colin
3
Bermin, Hans-Peter
3
Chiarella, Carl
3
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3
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3
Escobar, Marcos
3
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3
Madan, Dilip B.
3
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3
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3
Siu, Tak Kuen
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3
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3
Avellaneda, Marco
2
Baldeaux, Jan
2
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Applied mathematical finance
International journal of theoretical and applied finance
5
Energy economics
3
Finance and stochastics
3
Risks : open access journal
2
The journal of computational finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Digital finance : smart data analytics, investment innovation, and financial technology
1
IMA journal of management mathematics
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Journal of forecasting
1
Lecture notes in mathematics : a collection of informal reports and seminars
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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1
Paris Princeton lectures on mathematical finance
1
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1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
SFB 649 Discussion Paper 2009-046
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The interrelationship between financial and energy markets
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen
;
Pircalabu, Anca
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 36-65
Persistent link: https://www.econbiz.de/10011959115
Saved in:
2
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
Saved in:
3
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen
;
Di Nunno, Giulia
;
Khedher, Asma
; …
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Saved in:
4
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Mohammadi, Mohammadreza
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 522-552
Persistent link: https://www.econbiz.de/10011490623
Saved in:
5
A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries
Buchen, Peter W.
;
Konstandatos, Otto
- In:
Applied mathematical finance
16
(
2009
)
5/6
,
pp. 497-515
Persistent link: https://www.econbiz.de/10003916660
Saved in:
6
Two exotic lookback options
Bermin, Hans-Peter
;
Buchen, Peter W.
;
Konstandatos, Otto
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 387-402
Persistent link: https://www.econbiz.de/10003751373
Saved in:
7
A non-Gaussian-Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing
Benth, Fred Espen
;
Kallsen, Jan
;
Meyer-Brandis, Thilo
- In:
Applied mathematical finance
14
(
2007
)
2
,
pp. 153-169
Persistent link: https://www.econbiz.de/10003542981
Saved in:
8
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 302-324
Persistent link: https://www.econbiz.de/10001864238
Saved in:
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