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~isPartOf:"Applied mathematical finance"
~subject:"Optionsgeschäft"
~subject:"Simulation"
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Optionsgeschäft
Simulation
Derivat
79
Derivative
79
Option pricing theory
67
Optionspreistheorie
67
Theorie
32
Theory
32
Stochastic process
30
Stochastischer Prozess
30
Volatility
30
Volatilität
30
Option trading
17
Yield curve
17
Zinsstruktur
17
Interest rate derivative
16
Zinsderivat
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Hedging
15
Swap
10
Black-Scholes model
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Black-Scholes-Modell
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Kreditrisiko
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Sabino, Piergiacomo
3
Cohen, Samuel N.
2
Reisinger, Christoph
2
Wang, Sheng
2
Zheng, Wendong
2
Aly, Sidi Mohamed Ould
1
Benth, Fred Espen
1
Bossu, Sébastien
1
Bouzianis, George
1
Cont, Rama
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Cufaro Petroni, Nicola
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Di Nunno, Giulia
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Eberlein, Ernst
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Hofer, Markus
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Holtz, Markus
1
Houdré, Christian
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Hughston, Lane P.
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Ismail, Amine
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Joshi, Mark S.
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Kwok, Yue-Kuen
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Applied mathematical finance
The journal of futures markets
46
International journal of theoretical and applied finance
26
Review of derivatives research
25
Journal of banking & finance
22
Quantitative finance
22
Finance research letters
18
International review of economics & finance : IREF
18
International journal of financial engineering
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of financial economics
15
Management science : journal of the Institute for Operations Research and the Management Sciences
14
European journal of operational research : EJOR
13
International review of financial analysis
12
The European journal of finance
12
The journal of derivatives : JOD
12
Journal of mathematical finance
11
The journal of computational finance
11
Journal of economic dynamics & control
10
Journal of financial markets
10
Risks : open access journal
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Wiley trading series
9
Applied economics letters
8
Energy economics
8
Review of quantitative finance and accounting
8
Theoretical economics letters
8
Applied financial economics
7
Computational economics
7
Global finance journal
7
Journal of risk and financial management : JRFM
7
The journal of asset management
7
The journal of finance : the journal of the American Finance Association
7
Working paper / National Bureau of Economic Research, Inc.
7
Economic modelling
6
European financial management : the journal of the European Financial Management Association
6
Journal of econometrics
6
Journal of international money and finance
6
NBER working paper series
6
Always learning
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ECONIS (ZBW)
22
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1
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:
2
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
6
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
7
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:
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
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
10
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
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