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~isPartOf:"Economics and business review"
~isPartOf:"Finance research letters"
~isPartOf:"Financial markets and instruments"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The handbook of fixed income securities"
~isPartOf:"The journal of fixed income"
~isPartOf:"The journal of futures markets"
~language:"bos"
~language:"eng"
~person:"Baviera, Roberto"
~person:"Brigo, Damiano"
~person:"Broll, Udo"
~person:"Cui, Zhenyu"
~person:"Fabozzi, Frank J."
~person:"Hayre, Lakhbir S."
~person:"Yamazaki, Akira"
~subject:"CAPM"
~subject:"Credit rating"
~subject:"Derivat"
~subject:"Hedging"
~subject:"Kreditrisiko"
~subject:"Kreditsicherung"
~subject:"Kreditwürdigkeit"
~subject:"Option pricing theory"
~subject:"Statistical distribution"
~subject:"Theorie"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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CAPM
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Baviera, Roberto
Brigo, Damiano
Broll, Udo
Cui, Zhenyu
Fabozzi, Frank J.
Hayre, Lakhbir S.
Yamazaki, Akira
Lien, Da-hsiang Donald
50
Jarrow, Robert A.
16
Kwok, Yue-Kuen
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Elliott, Robert J.
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Economics and business review
Finance research letters
Financial markets and instruments
International journal of theoretical and applied finance
The handbook of fixed income securities
The journal of fixed income
The journal of futures markets
Valuation, financial modeling, and quantitative tools
21
European journal of operational research : EJOR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Jahrbücher für Nationalökonomie und Statistik
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
101
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1
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101
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1
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
2
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
3
Market risk, value-at-risk and exponential weighting
Broll, Udo
;
Förster, Andreas
- In:
Economics and business review
8/22
(
2022
)
2
,
pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
Saved in:
4
The measure of model risk in credit capital requirements
Baviera, Roberto
- In:
Finance research letters
44
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014494868
Saved in:
5
Recovering subjective probability distributions
Yamazaki, Akira
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1234-1263
Persistent link: https://www.econbiz.de/10013287943
Saved in:
6
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
7
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
8
Arbitrage detection using max plus product iteration on foreign exchange rate graphs
Cui, Zhenyu
;
Taylor, Stephen
- In:
Finance research letters
35
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012438327
Saved in:
9
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
Saved in:
10
Option pricing in markets with informed traders
Hu, Yuan
;
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496747
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