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~isPartOf:"International journal of theoretical and applied finance"
~language:"eng"
~language:"mul"
~person:"Brigo, Damiano"
~person:"Grasselli, Martino"
~source:"econis"
~subject:"Supply chain"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Interview"
~type_genre:"Textbook"
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Supply chain
Volatility
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8
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7
Derivative
7
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7
Option pricing theory
5
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Brigo, Damiano
Grasselli, Martino
Benth, Fred Espen
6
Takahashi, Akihiko
5
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Chiarella, Carl
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Forde, Martin
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Fouque, Jean-Pierre
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Bianchi, Michele Leonardo
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International journal of theoretical and applied finance
Decisions in economics and finance : a journal of applied mathematics
2
Journal of banking & finance
2
Journal of risk management in financial institutions
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
International journal of financial engineering
1
Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
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Springer Finance
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ECONIS (ZBW)
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1
VIX versus VXX : a joint analytical framework
Grasselli, Martino
;
Wagalath, Lakshithe
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012496543
Saved in:
2
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
3
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
4
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
5
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
6
The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano
;
Cousot, Laurent
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
Saved in:
7
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
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