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~isPartOf:"Applied mathematical finance"
~source:"econis"
~subject:"Estimation"
~subject:"Risiko"
~subject:"Theorie"
~subject:"Volatility"
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Estimation
Risiko
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Volatility
Derivat
79
Derivative
79
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
Theory
23
Volatilität
23
Option trading
16
Optionsgeschäft
16
Hedging
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7
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Benth, Fred Espen
3
Baldeaux, Jan
2
Howison, Sam
2
Rutkowski, Marek
2
Alaton, Peter
1
Aly, Sidi Mohamed Ould
1
Avellaneda, Marco
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
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Cont, Rama
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
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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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Applied mathematical finance
The journal of futures markets
191
International journal of theoretical and applied finance
97
Journal of banking & finance
92
Energy economics
65
International review of financial analysis
41
International review of economics & finance : IREF
40
Review of derivatives research
40
Finance research letters
38
The journal of finance : the journal of the American Finance Association
36
Mathematical finance : an international journal of mathematics, statistics and financial theory
35
Journal of financial and quantitative analysis : JFQA
34
NBER working paper series
34
Quantitative finance
34
The European journal of finance
34
Advances in futures and options research : a research annual
33
Finance and stochastics
33
Applied financial economics
32
European journal of operational research : EJOR
31
Journal of financial economics
30
NBER Working Paper
29
The review of financial studies
29
Economics letters
27
Journal of economic dynamics & control
27
The journal of derivatives : the official publication of the International Association of Financial Engineers
27
Working paper / National Bureau of Economic Research, Inc.
27
SpringerLink / Bücher
26
The North American journal of economics and finance : a journal of financial economics studies
23
Applied economics
22
Journal of econometrics
21
Research in international business and finance
21
The journal of credit risk : published quarterly by Incisive Media
21
The journal of fixed income
21
Applied economics letters
20
The journal of computational finance
19
Working paper
19
Gabler Edition Wissenschaft
18
Economic modelling
17
Finance and economics discussion series
17
International journal of financial engineering
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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
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:
4
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:
5
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:
6
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
Saved in:
7
Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Saved in:
8
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:
9
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
10
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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