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~isPartOf:"International journal of financial engineering"
~subject:"Markov chain"
~subject:"Volatilität"
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Markov chain
Volatilität
Option pricing theory
116
Optionspreistheorie
116
Stochastic process
55
Stochastischer Prozess
55
Volatility
47
Option trading
32
Optionsgeschäft
32
Derivat
24
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20
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option pricing
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Cui, Zhenyu
3
Ahlip, Rehez
2
Giribone, Pier Giuseppe
2
Lorig, Matthew
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2
Park, Laurence A. F.
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2
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1
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1
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International journal of financial engineering
International journal of theoretical and applied finance
177
Quantitative finance
111
The journal of futures markets
81
Applied mathematical finance
77
Journal of banking & finance
75
The journal of computational finance
68
Mathematical finance : an international journal of mathematics, statistics and financial theory
67
Review of derivatives research
53
European journal of operational research : EJOR
50
Finance research letters
50
Finance and stochastics
47
Computational economics
42
Journal of econometrics
40
The journal of derivatives : the official publication of the International Association of Financial Engineers
40
Journal of economic dynamics & control
38
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of mathematical finance
35
Insurance / Mathematics & economics
32
Annals of finance
31
Risks : open access journal
31
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27
Journal of financial economics
26
Review of quantitative finance and accounting
26
The European journal of finance
26
International review of economics & finance : IREF
24
Applied economics
22
Energy economics
21
Asia-Pacific financial markets
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
20
Journal of empirical finance
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Journal of risk and financial management : JRFM
19
Economic modelling
17
International review of financial analysis
17
Journal of financial and quantitative analysis : JFQA
17
Mathematics and financial economics
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
The journal of finance : the journal of the American Finance Association
16
Asia-Pacific journal of financial studies
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ECONIS (ZBW)
49
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1
Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar
;
Zhang, Hailiang
;
Kanwal, Samra
; …
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
Saved in:
2
Symbolic regression-based adaptive generation of implied volatility
Yen, Joseph
;
Qi, Yuan Yuan
;
Wong, Seng Fat
;
Zhou, Jiantao
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250018-1-2250018-27
Persistent link: https://www.econbiz.de/10013367616
Saved in:
3
Explicit caplet implied volatilities for quadratic term-structure models
Lorig, Matthew
;
Suaysom, Natchanon
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014521323
Saved in:
4
Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
Saved in:
5
Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
Saved in:
6
Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd
;
Koster, Frank
;
Oeltz, Daniel
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
Saved in:
7
Empirical performance of stochastic volatility option pricing models
Stilger, Przemyslaw S.
;
Ngoc Quynh Anh Nguyen
;
Tri Minh …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
Saved in:
8
Forward start options under Heston affine jump-diffusions and stochastic interest rate
Ahlip, Rehez
;
Park, Laurence A. F.
;
Prodan, Ante
; …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012654786
Saved in:
9
Occupation times of Lévy processes
Wu, Lan
;
Zhang, Xiao
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
Saved in:
10
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
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