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Search: subject:"Stochastic Volatility"
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Stochastic process
15
Stochastischer Prozess
15
Volatility
15
Volatilität
15
Stochastic volatility
12
Option pricing theory
11
Optionspreistheorie
11
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7
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6
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3
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3
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2
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1
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
65
International Journal of Theoretical and Applied Finance (IJTAF)
50
Tinbergen Institute Discussion Papers
50
Working Paper
50
CREATES Research Papers
44
Journal of econometrics
44
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Quantitative Finance
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Journal of economic dynamics & control
27
Finance and Stochastics
26
Physica A: Statistical Mechanics and its Applications
25
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25
Applied Mathematical Finance
23
CAMA working paper series
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Applied mathematical finance
21
CIRANO Working Papers
21
Energy economics
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Finance research letters
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Research Paper Series / Finance Discipline Group, Business School
21
Economics Series Working Papers / Department of Economics, Oxford University
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The journal of computational finance
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ECB Working Paper
18
Economics letters
18
European journal of operational research : EJOR
18
The journal of futures markets
18
Economics Papers / Economics Group, Nuffield College, University of Oxford
17
Journal of Risk and Financial Management
17
Review of Derivatives Research
17
The North American journal of economics and finance : a journal of financial economics studies
17
CEPR Discussion Papers
16
Journal of mathematical finance
16
Journal of risk and financial management : JRFM
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
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ECONIS (ZBW)
15
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1
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with
stochastic
volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
2
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 63-78
Persistent link: https://www.econbiz.de/10012133510
Saved in:
3
Derivatives trading for insurers
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10011990431
Saved in:
4
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao
;
Wang, Rongming
;
Wei, Jiaqin
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 104-114
Persistent link: https://www.econbiz.de/10011990618
Saved in:
5
Dynamic derivative-based investment strategy for mean-variance asset-liability management with
stochastic
volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
6
Optimal surrender of guaranteed minimum maturity benefits under
stochastic
volatility
and interest rates
Kang, Boda
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 43-56
Persistent link: https://www.econbiz.de/10011825347
Saved in:
7
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and
stochastic
volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
8
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and
stochastic
volatility
models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
9
Valuing inflation-linked death benefits under a
stochastic
volatility
framework
Liang, Zongxia
;
Sheng, Wenlong
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
Saved in:
10
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonio
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
Saved in:
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