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~isPartOf:"Insurance / Mathematics & economics"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
Volatility
386
Volatilität
384
Estimation
119
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119
ARCH model
111
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111
Börsenkurs
95
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Hainaut, Donatien
3
Li, Zhongfei
3
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3
Wong, Hoi Ying
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2
Godin, Frédéric
2
Guan, Guohui
2
Li, Yong
2
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Economic modelling
Insurance / Mathematics & economics
International journal of theoretical and applied finance
178
Quantitative finance
124
Journal of econometrics
122
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
71
Discussion paper / Tinbergen Institute
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Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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International journal of financial engineering
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European journal of operational research : EJOR
48
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Annals of finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Economics letters
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Applied economics
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Journal of financial economics
33
The European journal of finance
32
CREATES research paper
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International review of economics & finance : IREF
29
Journal of risk and financial management : JRFM
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of financial analysis
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ECONIS (ZBW)
68
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1
Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio
;
Lenz, Jimmie
- In:
Economic modelling
136
(
2024
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
Saved in:
2
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
3
Multivariate claim processes with rough intensities : properties and estimation
Hainaut, Donatien
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 269-287
Persistent link: https://www.econbiz.de/10013471245
Saved in:
4
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Brignone, Riccardo
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 232-247
Persistent link: https://www.econbiz.de/10012482885
Saved in:
5
What determines volatility smile in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
6
In no uncertain terms : the effect of uncertainty on credit frictions and monetary policy
Balke, Nathan S.
;
Martínez-García, Enrique
;
Zeng, Zheng
- In:
Economic modelling
100
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012795898
Saved in:
7
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
8
Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen
;
Hou, Chenghan
;
Bao Hoang Nguyen
- In:
Economic modelling
105
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
Saved in:
9
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
10
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 63-78
Persistent link: https://www.econbiz.de/10012133510
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