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~isPartOf:"European journal of operational research : EJOR"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Statistik"
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Volatility
Theorie
4,844
Theory
4,844
Mathematical programming
2,061
Mathematische Optimierung
2,060
Scheduling problem
976
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Ballotta, Laura
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European journal of operational research : EJOR
Journal of econometrics
263
Journal of banking & finance
213
International journal of theoretical and applied finance
211
Finance research letters
191
Quantitative finance
165
Journal of empirical finance
137
Economic modelling
130
Economics letters
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The journal of futures markets
130
Energy economics
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Journal of economic dynamics & control
119
International review of financial analysis
118
The North American journal of economics and finance : a journal of financial economics studies
117
Journal of financial economics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
International review of economics & finance : IREF
112
Applied economics
111
Applied mathematical finance
107
International journal of forecasting
99
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
Computational economics
94
The European journal of finance
85
Journal of international money and finance
82
Journal of risk and financial management : JRFM
78
Journal of international financial markets, institutions & money
75
Finance and stochastics
74
The review of financial studies
74
The journal of computational finance
73
Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
71
Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
Risks : open access journal
68
Review of derivatives research
63
The journal of finance : the journal of the American Finance Association
60
Applied financial economics
59
Journal of mathematical finance
59
International journal of financial engineering
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65
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1
Robust consumption and portfolio choice with derivatives trading
Wei, Pengyu
;
Yang, Charles
;
Zhuang, Yi
- In:
European journal of operational research : EJOR
304
(
2023
)
2
,
pp. 832-850
Persistent link: https://www.econbiz.de/10013534570
Saved in:
2
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
3
An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye
;
Huang, Weizhang
;
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
4
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
5
Extending the Fama and French model with a long term memory factor
López-García, M. N.
;
Trinidad-Segovia, J. E.
; …
- In:
European journal of operational research : EJOR
291
(
2021
)
2
,
pp. 421-426
Persistent link: https://www.econbiz.de/10012495319
Saved in:
6
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
7
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
8
Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi
;
Jin, Xing
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
Saved in:
9
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
10
Variance swaps with mean reversion and multi-factor variance
Wu, Bin
;
Chen, Pengzhan
;
Ye, Wuyi
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
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