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~isPartOf:"Applied mathematical finance"
~source:"econis"
~subject:"Estimation"
~subject:"Theorie"
~subject:"Volatility"
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Estimation
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Derivat
79
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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
Baldeaux, Jan
2
Howison, Sam
2
Rutkowski, Marek
2
Alaton, Peter
1
Aly, Sidi Mohamed Ould
1
Avellaneda, Marco
1
Badran, Alexander
1
Bajeux-Besnainou, Isabelle
1
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1
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1
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1
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1
Cont, Rama
1
Cooper, Ian
1
Deelstra, Griselda
1
Di Nunno, Giulia
1
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1
Ekeland, Lars
1
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1
Figueroa-López, José E.
1
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1
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1
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1
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1
Grasselli, M. R.
1
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Applied mathematical finance
The journal of futures markets
182
International journal of theoretical and applied finance
96
Journal of banking & finance
90
Energy economics
57
International review of financial analysis
37
Review of derivatives research
37
The journal of finance : the journal of the American Finance Association
36
International review of economics & finance : IREF
35
Journal of financial and quantitative analysis : JFQA
35
Mathematical finance : an international journal of mathematics, statistics and financial theory
34
Advances in futures and options research : a research annual
33
Finance and stochastics
33
Finance research letters
33
The European journal of finance
33
Applied financial economics
32
European journal of operational research : EJOR
29
Journal of financial economics
29
NBER working paper series
29
Quantitative finance
29
The review of financial studies
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
27
Economics letters
26
Journal of economic dynamics & control
26
NBER Working Paper
24
SpringerLink / Bücher
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Journal of econometrics
21
The North American journal of economics and finance : a journal of financial economics studies
21
Working paper / National Bureau of Economic Research, Inc.
21
Research in international business and finance
20
The journal of fixed income
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Applied economics
19
The journal of computational finance
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The journal of credit risk : published quarterly by Incisive Media
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Working paper
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Applied economics letters
18
Gabler Edition Wissenschaft
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Finance and economics discussion series
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Journal of empirical finance
17
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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
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan
;
Badran, Alexander
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Saved in:
10
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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