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~isPartOf:"Applied mathematical finance"
~source:"econis"
~subject:"Estimation"
~subject:"Option trading"
~subject:"Theorie"
~subject:"Volatility"
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Estimation
Option trading
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Derivat
79
Derivative
79
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
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23
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23
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16
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Benth, Fred Espen
3
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2
Cohen, Samuel N.
2
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2
Reisinger, Christoph
2
Rutkowski, Marek
2
Wang, Sheng
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
Cont, Rama
1
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1
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1
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Applied mathematical finance
The journal of futures markets
199
International journal of theoretical and applied finance
110
Journal of banking & finance
91
Energy economics
62
Review of derivatives research
44
Finance research letters
43
International review of financial analysis
43
International review of economics & finance : IREF
40
The European journal of finance
39
The journal of finance : the journal of the American Finance Association
39
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
Quantitative finance
38
Applied financial economics
35
European journal of operational research : EJOR
34
Journal of financial and quantitative analysis : JFQA
34
Advances in futures and options research : a research annual
33
Finance and stochastics
33
Journal of economic dynamics & control
33
Journal of financial economics
33
NBER working paper series
32
The journal of derivatives : the official publication of the International Association of Financial Engineers
31
The North American journal of economics and finance : a journal of financial economics studies
29
The review of financial studies
29
Economics letters
26
NBER Working Paper
26
International journal of financial engineering
24
SpringerLink / Bücher
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Working paper / National Bureau of Economic Research, Inc.
23
The journal of computational finance
22
Applied economics letters
21
Economic modelling
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Journal of econometrics
21
The journal of derivatives : JOD
21
The journal of fixed income
21
Research in international business and finance
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Applied economics
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Journal of mathematical finance
19
Review of quantitative finance and accounting
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Risks : open access journal
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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
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
3
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
4
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
5
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
6
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Saved in:
7
Hedging strategies in commodity markets : rolling intrinsic and delta hedging for virtual power plants
Biegler-König, Richard
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 550-582
Persistent link: https://www.econbiz.de/10012516171
Saved in:
8
Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
Saved in:
9
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
10
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
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