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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Analysis
27
Mathematical analysis
27
Stochastic process
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Option pricing theory
16
Optionspreistheorie
16
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Theory
7
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information premium
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Hess, Markus
3
Sørensen, Michael
3
Kim, Donggyu
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1
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1
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1
Gloter, Arnaud
1
Jaimungal, Sebastian
1
Kharroubi, Idris
1
Kouritzin, Michael A.
1
Kromer, Eduard
1
Küchler, Uwe
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1
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Centre for Analytical Finance <Århus>
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International journal of theoretical and applied finance
Journal of econometrics
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
Discussion papers of interdisciplinary research project 373
17
Insurance / Mathematics & economics
15
The journal of computational finance
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Finance and stochastics
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Journal of mathematical finance
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Applied mathematical finance
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CESifo working papers
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
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International journal of financial engineering
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Journal of economic dynamics & control
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Risks : open access journal
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SFB 649 discussion paper
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical methods of operations research
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Asia-Pacific financial markets
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CREATES research paper
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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Journal of mathematical economics
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Scandinavian actuarial journal
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The journal of computational finance : JFC
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
22
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1
Latency and liquidity risk
Cartea, Álvaro
;
Jaimungal, Sebastian
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807838
Saved in:
2
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
3
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
4
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
5
Reflected BSDEs with stochastic monotone generator and application to valuing American options
Marzougue, Mohamed
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012496720
Saved in:
6
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
Saved in:
7
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
8
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
9
Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid
;
Matoussi, Anis
;
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
Saved in:
10
Differentiability of BSVIEs and dynamic capital allocations
Kromer, Eduard
;
Overbeck, Ludger
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011763938
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