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~isPartOf:"Applied mathematical finance"
~source:"econis"
~subject:"Estimation"
~subject:"Theorie"
~subject:"Volatility"
~subject:"Yield curve"
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Estimation
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Derivat
79
Derivative
79
Option pricing theory
61
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61
Stochastic process
24
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24
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23
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Benth, Fred Espen
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Applied mathematical finance
The journal of futures markets
191
International journal of theoretical and applied finance
106
Journal of banking & finance
95
Energy economics
57
International review of financial analysis
45
Review of derivatives research
42
Finance research letters
37
The journal of finance : the journal of the American Finance Association
37
International review of economics & finance : IREF
36
Journal of financial and quantitative analysis : JFQA
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Quantitative finance
36
Mathematical finance : an international journal of mathematics, statistics and financial theory
35
The European journal of finance
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Advances in futures and options research : a research annual
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Finance and stochastics
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Applied financial economics
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Journal of financial economics
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NBER working paper series
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European journal of operational research : EJOR
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The journal of derivatives : the official publication of the International Association of Financial Engineers
29
The review of financial studies
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Journal of economic dynamics & control
27
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Economics letters
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The journal of computational finance
23
The journal of fixed income
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Working paper / National Bureau of Economic Research, Inc.
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Applied economics letters
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Journal of econometrics
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Research in international business and finance
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of credit risk : published quarterly by Incisive Media
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Applied economics
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International journal of financial engineering
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Finance and economics discussion series
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Gabler Edition Wissenschaft
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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
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
7
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:
8
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
9
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:
10
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
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