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~isPartOf:"International review of financial analysis"
~isPartOf:"Quantitative finance"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
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Option pricing theory
Derivat
174
Derivative
174
Optionspreistheorie
89
Volatility
52
Volatilität
52
Hedging
41
Theorie
41
Theory
41
Stochastic process
34
Stochastischer Prozess
34
Option trading
27
Optionsgeschäft
27
Credit risk
26
Kreditrisiko
26
Commodity derivative
24
Rohstoffderivat
24
Portfolio selection
23
Portfolio-Management
23
Yield curve
21
Zinsstruktur
21
Swap
18
Estimation
17
Interest rate derivative
17
Schätzung
17
Zinsderivat
17
Monte Carlo simulation
16
Monte-Carlo-Simulation
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Risikomanagement
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Risk management
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Futures
14
Credit derivative
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Derivatives
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Kreditderivat
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Black-Scholes model
12
Black-Scholes-Modell
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Börsenkurs
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English
89
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Xu, Yaofei
3
Yan, Cheng
3
Zagst, Rudi
3
Bunn, Derek W.
2
Crépey, Stéphane
2
Delage, Erick
2
Escobar, Marcos
2
Funahashi, Hideharu
2
He, Xin-Jiang
2
Jacquier, Antoine
2
Kandhai, Drona
2
Li, Jonathan Yu-Meng
2
Marzban, Saeed
2
Reisinger, Christoph
2
Reyners, Sofie
2
Schoutens, Wim
2
Shi, Yukun
2
Sit, Tony
2
Stasinakis, Charalampos
2
Wong, Hoi Ying
2
Alexander, Carol
1
Azzone, Michele
1
Baviera, Roberto
1
Benk, Janos
1
Benth, Fred Espen
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Capriotti, Luca
1
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1
Carbonneau, Alexandre
1
Chataigner, Marc
1
Chen, Bin
1
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International review of financial analysis
Quantitative finance
The journal of computational finance
International journal of theoretical and applied finance
101
Applied mathematical finance
61
Review of derivatives research
44
The journal of futures markets
35
European journal of operational research : EJOR
30
Journal of banking & finance
30
Journal of mathematical finance
30
International journal of financial engineering
24
Energy economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Journal of economic dynamics & control
21
Risks : open access journal
21
Finance and stochastics
20
The European journal of finance
20
The North American journal of economics and finance : a journal of financial economics studies
20
The journal of derivatives : JOD
20
Finance research letters
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Computational economics
15
Journal of econometrics
15
SpringerLink / Bücher
15
Applied economics letters
14
Insurance / Mathematics & economics
14
International review of economics & finance : IREF
13
Annals of finance
12
Journal of risk and financial management : JRFM
11
SFB 649 discussion paper
11
Wiley finance series
11
Applied economics
10
Mathematical finance
10
Research paper series / Swiss Finance Institute
10
Economic modelling
9
Lecture notes in economics and mathematical systems : LNEMS
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Asia-Pacific financial markets
8
Journal of financial economics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
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ECONIS (ZBW)
89
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1
A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA
Hoencamp, J. H.
;
Jain, Surbhi
;
Kandhai, B. D.
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 409-432
Persistent link: https://www.econbiz.de/10014552078
Saved in:
2
On practitioners closed-form GARCH option pricing
Mozumder, Sharif
;
Frijns, Bart
;
Talukdar, Bakhtear
; …
- In:
International review of financial analysis
94
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014543999
Saved in:
3
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
4
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
5
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
6
Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian
;
Wu, Yuexiang
;
Zhang, Aihua
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
Saved in:
7
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
8
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
9
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
10
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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