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~isPartOf:"Computational economics"
~language:"eng"
~person:"Acemoglu, Daron"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
~type_genre:"Rezension"
~type_genre:"Working Paper"
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Option pricing theory
3
Optionspreistheorie
3
Stochastic process
3
Stochastischer Prozess
3
Theorie
3
Theory
3
Volatility
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Volatilität
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Acemoglu, Daron
Fabozzi, Frank J.
Halkos, George E.
13
Villani, Giovanni
11
Jawadi, Fredj
8
Biancardi, Marta Elena
7
Chen, Shu-Heng
7
Semmler, Willi
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Sun, Edward W.
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Atolia, Manoj
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Caporale, Guglielmo Maria
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Hespeler, Frank
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Computational economics
Working paper / National Bureau of Economic Research, Inc.
156
Massachusetts Institute of Technology Department of Economics working paper series : working paper
110
Discussion paper / Centre for Economic Policy Research
48
The journal of portfolio management : JPM
34
NBER working paper series
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The American economic review
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The journal of portfolio management : a publication of Institutional Investor
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MIT Department of Economics Working Paper
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The journal of fixed income
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Journal of political economy
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The quarterly journal of economics
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Finance research letters
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The economic journal : the journal of the Royal Economic Society
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Applied financial economics
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The journal of economic perspectives : EP ; a journal of the American Economic Association
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Economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
2
Robust solutions to the life-cycle consumption problem
Reus, Lorenzo
;
Fabozzi, Frank J.
- In:
Computational economics
57
(
2021
)
2
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
Saved in:
3
Quantile-based inference for tempered stable distributions
Fallahgoul, Hasan A.
;
Veredas, David
;
Fabozzi, Frank J.
- In:
Computational economics
53
(
2019
)
1
,
pp. 51-83
Persistent link: https://www.econbiz.de/10012134536
Saved in:
4
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
5
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
6
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Saved in:
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