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~isPartOf:"International journal of financial engineering"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Optionspreistheorie"
~subject:"Unvollkommener Markt"
~type:"article"
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Optionspreistheorie
Unvollkommener Markt
Portfolio selection
237
Portfolio-Management
237
Theorie
185
Theory
185
Stochastic process
43
Stochastischer Prozess
43
Option pricing theory
36
Incomplete market
28
CAPM
26
Mathematical programming
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Mathematische Optimierung
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Martingal
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Martingale
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Risiko
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Derivative
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Risk management
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Rogers, Leonard C. G.
2
Xia, Jianming
2
Zhou, Xun Yu
2
Arai, Takuji
1
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1
Bank, Peter
1
Baum, Dietmar
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International journal of financial engineering
Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
38
Insurance / Mathematics & economics
35
Finance and stochastics
34
Journal of economic dynamics & control
27
Quantitative finance
19
Applied mathematical finance
14
European journal of operational research : EJOR
14
Journal of banking & finance
14
Journal of mathematical finance
14
Mathematics and financial economics
13
Annals of finance
10
Journal of risk and financial management : JRFM
10
Risks : open access journal
10
The journal of computational finance
10
The review of financial studies
10
Finance research letters
9
International review of financial analysis
8
Mathematical methods of operations research
8
Economic modelling
7
Review of derivatives research
7
Scandinavian actuarial journal
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of derivatives : JOD
7
Astin bulletin : the journal of the International Actuarial Association
6
Journal of financial economics
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Mathematics of operations research
6
The European journal of finance
6
Applied economics letters
5
Computational Management Science : CMS
5
Economic theory : official journal of the Society for the Advancement of Economic Theory
5
Journal of economic theory
5
Journal of international economics
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Operations research letters
5
Risk and decision analysis
5
The journal of finance : the journal of the American Finance Association
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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1
Managing the risk of embedded options in non-traded credit using portfolio modeling
Engelmann, Bernd
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014444472
Saved in:
2
Data-driven option pricing using single and multi-asset supervised learning
Goswami, Anindya
;
Rajani, Sharan
;
Tanksale, Atharva
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012662235
Saved in:
3
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra
;
SenGupta, Indranil
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
Saved in:
4
Basel regulatory capital formula revised
Yang, Yimin
;
Wu, Min
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
Saved in:
5
A time consistent derivative strategy
Mudzimbabwe, Walter
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
Saved in:
6
Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili
;
Shen, Jiaqi
;
Zhao, Liheng
;
Qin, Haoyang
; …
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
Saved in:
7
The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options
Lin, Tyrone T.
;
Yen, Hui-Tzu
;
Hsu, Shu-Yen
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012602947
Saved in:
8
A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
Saved in:
9
Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
Kale, Jivendra K.
;
Lim, Tee
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012028870
Saved in:
10
Stochastic volatility for utility maximizers : a martingale approach
Ellersgaard, Simon
;
Tegnér, Martin
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011922965
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