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~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Stochastic process"
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Stochastic process
Hedging
78
Theorie
67
Theory
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Option pricing theory
43
Optionspreistheorie
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Commodity derivative
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Rohstoffderivat
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Bank, Peter
1
Bardou, O.
1
Baum, Dietmar
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Benth, Fred Espen
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Biagini, Francesca
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Carr, Peter
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International Journal of Energy Economics and Policy : IJEEP
Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
34
Energy economics
23
Applied mathematical finance
18
Finance and stochastics
14
Insurance / Mathematics & economics
14
Quantitative finance
14
Journal of economic dynamics & control
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The journal of futures markets
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Annals of finance
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European journal of operational research : EJOR
8
Journal of banking & finance
8
Review of derivatives research
7
CoFE discussion papers
6
Computational Management Science : CMS
6
Computational economics
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Risks : open access journal
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Computers & operations research : and their applications to problems of world concern ; an international journal
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
International journal of financial engineering
5
Journal of mathematical finance
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Advanced mathematical methods for finance
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Applied economics
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Asia-Pacific financial markets
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Discussion paper / Tinbergen Institute
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Discussion papers of interdisciplinary research project 373
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Mathematical methods of operations research
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Omega : the international journal of management science
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Operations research letters
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of computational finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Advanced series on statistical science & applied probability
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ECONIS (ZBW)
16
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1
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
2
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
3
The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets
Benth, Fred Espen
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 595-625
Persistent link: https://www.econbiz.de/10009311688
Saved in:
4
CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.
;
Frikha, N.
;
Pagès, Gilles
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
Saved in:
5
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
6
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
7
Series expansion of the SABR joint density
Wu, Qi
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
Saved in:
8
Multi-asset stochastic local variance contracts
Carr, Peter
;
Laurence, Peter
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 21-52
Persistent link: https://www.econbiz.de/10008935704
Saved in:
9
Superhedging in illiquid markets
Pennanen, Teemu
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 519-540
Persistent link: https://www.econbiz.de/10009156016
Saved in:
10
Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
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