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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 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:"Jeanblanc, Monique"
~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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Option pricing theory
Statistical distribution
Theorie
Theory
41
Optionspreistheorie
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Baviera, Roberto
Brigo, Damiano
Broll, Udo
Cui, Zhenyu
Fabozzi, Frank J.
Hayre, Lakhbir S.
Jeanblanc, Monique
Lien, Da-hsiang Donald
50
Jarrow, Robert A.
16
Kwok, Yue-Kuen
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Elliott, Robert J.
15
Webb, Robert I.
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Kit, Pong Wong
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Madan, Dilip B.
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11
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11
Gay, Gerald D.
10
Goodman, Laurie Sharon
10
Hung, Mao-Wei
10
Kim, Hwa-sung
10
Kolb, Robert W.
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10
Chung, San-lin
9
Frino, Alex
9
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9
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9
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8
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Economics and business review
Finance research letters
Financial markets and instruments
International journal of theoretical and applied finance
The journal of fixed income
The journal of futures markets
Valuation, financial modeling, and quantitative tools
21
The handbook of fixed income securities
18
Finance and stochastics
14
European journal of operational research : EJOR
11
Investment management and financial management
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Journal of banking & finance
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The journal of portfolio management : a publication of Institutional Investor
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Economics letters
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of economic dynamics & control
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6
International journal of financial engineering
6
The journal of derivatives : JOD
6
Applied economics
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Jahrbücher für Nationalökonomie und Statistik
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The journal of asset management : a major new, international quarterly journal for the financial community
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The journal of fixed income : JFI
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Annals of operations research
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Contemporary economics
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European financial management : the journal of the European Financial Management Association
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International economic journal
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ECONIS (ZBW)
85
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1
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85
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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
First-to-default and second-to-default options in models with various information flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012652666
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
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
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