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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
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Oosterlee, Cornelis W.
5
Grzelak, Lech A.
3
Oosterlee, Cornelis Willebrordus
3
Stoep, Anthonie W. van der
3
Chen, Bin
2
Feng, Qian
2
Cong, F.
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Graaf, Cornelis S. L. de
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Kandhai, Drona
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Weeren, Sacha van
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Weide, Hans van der
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International journal of theoretical and applied finance
The journal of computational finance
12
Applied mathematical finance
7
International Journal of Theoretical and Applied Finance (IJTAF)
4
Energy economics
3
Insurance / Mathematics & economics
3
Risks : open access journal
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Applied Mathematical Finance
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Energy Economics
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Journal of economic dynamics & control
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Quantitative Finance
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The journal of credit risk : published quarterly by Incisive Media
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Applied Mathematics and Computation 317: 68-84, 2018
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Computational economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Finance research letters
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IMA journal of management mathematics
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Insurance: Mathematics and Economics
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International journal of financial engineering
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International journal of theoretical and applied finance : IJTAF
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Journal of risk and financial management : JRFM
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Numerical methods in finance : Bordeaux, June 2010
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Quantitative finance
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doi:10.1007/s10614-016-9569-0
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ECONIS (ZBW)
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1
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
2
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
Cong, F.
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011763920
Saved in:
3
Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Saved in:
4
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
5
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
6
Efficient computation of exposure profiles for counterparty credit risk
Graaf, Cornelis S. L. de
;
Feng, Qian
;
Kandhai, Drona
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010391508
Saved in:
7
A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
Saved in:
8
Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weeren, Sacha van
- In:
International journal of theoretical and applied finance
13
(
2010
)
7
,
pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224
Saved in:
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