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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Stochastic process"
~subject:"Volatility"
~type:"article"
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Stochastic process
Volatility
Theorie
560
Theory
560
Option pricing theory
467
Optionspreistheorie
467
Stochastischer Prozess
302
Portfolio selection
218
Portfolio-Management
218
Volatilität
204
Derivat
152
Derivative
152
Hedging
105
Option trading
95
Optionsgeschäft
95
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93
Kreditrisiko
93
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88
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88
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74
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67
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66
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56
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54
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53
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7
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2
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377
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Gapeev, Pavel V.
7
Jeanblanc, Monique
7
Levendorskij, Sergej Z.
7
Takahashi, Akihiko
6
Benth, Fred Espen
5
Brigo, Damiano
5
Fabozzi, Frank J.
5
Liu, Rui Hua
5
Oosterlee, Cornelis W.
5
Gatheral, Jim
4
Hess, Markus
4
Macrina, Andrea
4
Pallavicini, Andrea
4
Schoutens, Wim
4
Antonelli, Fabio
3
Biagini, Francesca
3
Bojarčenko, Svetlana I.
3
Capriotti, Luca
3
Cartea, Álvaro
3
Chiarella, Carl
3
Elliott, Robert J.
3
Forde, Martin
3
Fouque, Jean-Pierre
3
Grorud, Axel
3
Grzelak, Lech A.
3
Jaimungal, Sebastian
3
Mercurio, Fabio
3
Mijatovi´c, Aleksandar
3
Platen, Eckhard
3
Radoičić, Radoš
3
Račev, Svetlozar T.
3
Schmidt, Thorsten
3
Semeraro, Patrizia
3
Stoep, Anthonie W. van der
3
Stoyanov, Stoyan V.
3
Vives, Josep
3
Zubelli, Jorge P.
3
Abergel, Frédéric
2
Aly, Sidi Mohamed Ould
2
Alòs, Elisa
2
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International journal of theoretical and applied finance
European journal of operational research : EJOR
572
Insurance / Mathematics & economics
255
Journal of econometrics
239
Quantitative finance
228
Journal of banking & finance
221
Finance and stochastics
215
Finance research letters
200
Journal of economic dynamics & control
187
Mathematical finance : an international journal of mathematics, statistics and financial theory
162
Applied mathematical finance
160
Economics letters
155
Computers & operations research : and their applications to problems of world concern ; an international journal
153
Economic modelling
149
Operations research
146
Risks : open access journal
146
Operations research letters
141
Computational economics
138
International journal of production research
137
Energy economics
134
The journal of futures markets
129
The journal of computational finance
128
Mathematics of operations research
125
The North American journal of economics and finance : a journal of financial economics studies
123
Journal of financial economics
119
Journal of empirical finance
116
International review of financial analysis
111
International review of economics & finance : IREF
110
Applied economics
109
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
103
Management science : journal of the Institute for Operations Research and the Management Sciences
103
The European journal of finance
101
International journal of financial engineering
99
Journal of mathematical finance
95
International journal of forecasting
93
Journal of risk and financial management : JRFM
91
Journal of economic theory
88
Review of derivatives research
85
Econometric reviews
84
International journal of production economics
84
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ECONIS (ZBW)
377
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1
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
2
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
3
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:
4
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
5
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
6
Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn
;
Westphal, Dorothee
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
Saved in:
7
A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Lipton, Alexander
;
López de Prado, Marcos M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496922
Saved in:
8
Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim
;
Yan, Raphael
;
Zhou, Yang
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
Saved in:
9
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.
;
Chen, Tao
;
Cialenco, Igor
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Saved in:
10
Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650235
Saved in:
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