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~isPartOf:"Economic modelling"
~isPartOf:"International review of financial analysis"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~person:"Guyon, Julien"
~person:"Pirjol, Dan"
~subject:"Volatilität"
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Volatilität
Option pricing theory
5
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4-factor Markovian PDV model
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Joint S&P 500/VIX smile calibration
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Guyon, Julien
Pirjol, Dan
Gatheral, Jim
4
Radoičić, Radoš
4
Xu, Yaofei
4
Felpel, Mike
3
Hainaut, Donatien
3
Horvath, Blanka Nora
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Jacquier, Antoine
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2
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Dunis, Christian
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Friz, Peter K.
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Garces, Len Patrick Dominic M.
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Economic modelling
International review of financial analysis
Quantitative finance
The European journal of finance
Finance and stochastics
2
International journal of theoretical and applied finance : IJTAF
2
The journal of computational finance
2
Applied mathematical finance
1
Insurance / Mathematics & economics
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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2
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
Saved in:
3
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
4
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
5
Inversion of convex ordering in the VIX market
Guyon, Julien
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1597-1623
Persistent link: https://www.econbiz.de/10012295626
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