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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The American economic review"
~language:"eng"
~person:"Fouque, Jean-Pierre"
~person:"Takahashi, Akihiko"
~subject:"Volatility"
~type_genre:"Article in journal"
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Volatility
Option pricing theory
8
Optionspreistheorie
8
Volatilität
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7
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7
Derivat
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Derivative
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Article in journal
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8
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Fouque, Jean-Pierre
Takahashi, Akihiko
Benth, Fred Espen
6
Brigo, Damiano
5
Jaimovich, Nir
4
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Chiarella, Carl
3
Fernández-Villaverde, Jesús
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Forde, Martin
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Gatheral, Jim
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Grzelak, Lech A.
3
Guerrón-Quintana, Pablo A.
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Liu, Rui Hua
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Oosterlee, Cornelis W.
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Radoičić, Radoš
3
Rubio-Ramírez, Juan Francisco
3
Schoutens, Wim
3
Stoep, Anthonie W. van der
3
Uribe, Martín
3
Vives, Josep
3
Zubelli, Jorge P.
3
Ahlip, Rehez
2
Alòs, Elisa
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Antonelli, Fabio
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Avellaneda, Marco
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Bianchi, Michele Leonardo
2
Boyarchenko, Mitya
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Carr, Peter
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Carvalho, Vasco M.
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Cui, Zhenyu
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Ekström, Erik
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Fabozzi, Frank J.
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Fukasawa, Masaaki
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Funahashi, Hideharu
2
Gabaix, Xavier
2
Gorbachev, Olga
2
Gorodnichenko, Yuriy
2
Grasselli, Martino
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International journal of theoretical and applied finance
The American economic review
Asia-Pacific financial markets
5
Applied mathematical finance
3
Finance and stochastics
3
The journal of computational finance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics of operations research
2
The journal of futures markets
2
Annals of finance
1
European journal of operational research : EJOR
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Quantitative finance
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The quarterly journal of finance
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ECONIS (ZBW)
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1
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
2
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
3
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
4
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
5
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Saved in:
6
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
7
From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
Saved in:
8
Mean-reverting stochastic volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
Saved in:
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