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~isPartOf:"Finance and stochastics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Monte-Carlo-Simulation"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
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Monte-Carlo-Simulation
Prognoseverfahren
Volatilität
Option pricing theory
495
Optionspreistheorie
495
Theorie
274
Theory
274
Stochastic process
227
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227
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208
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190
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Bayer, Christian
6
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5
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4
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3
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3
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2
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2
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2
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2
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2
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2
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Finance and stochastics
Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
206
Journal of banking & finance
143
Finance research letters
104
The journal of computational finance
101
Journal of financial economics
100
The journal of futures markets
97
Applied mathematical finance
95
Mathematical finance : an international journal of mathematics, statistics and financial theory
83
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71
The North American journal of economics and finance : a journal of financial economics studies
68
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66
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NBER working paper series
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International review of economics & finance : IREF
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International review of financial analysis
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ECONIS (ZBW)
242
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
3
Technical analysis as a sentiment barometer and the cross-section of stock returns
Ding, Wenjie
;
Mazouz, Khelifa
;
Ap Gwilym, Owain
;
Wang, …
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1617-1636
Persistent link: https://www.econbiz.de/10014419182
Saved in:
4
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
5
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
6
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
7
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
8
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
9
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
10
The
pricing
of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
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