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~isPartOf:"Journal of economic dynamics & control"
~subject:"Option pricing theory"
~subject:"Theory"
~subject:"Volatility"
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Option pricing theory
Theory
Volatility
Derivat
39
Derivative
39
Optionspreistheorie
21
Theorie
19
Stochastic process
11
Stochastischer Prozess
11
Hedging
9
Portfolio selection
9
Portfolio-Management
9
Volatilität
9
Option trading
8
Optionsgeschäft
8
CAPM
7
Credit risk
4
Derivatives
4
Kreditrisiko
4
Stochastic volatility
4
Financial crisis
3
Swap
3
Ambiguity
2
Analysis of variance
2
Credit market
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Derivatives pricing
2
Early exercise
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Finanzkrise
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Greece
2
Griechenland
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Insolvency
2
Insolvenz
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Intertemporal equilibrium
2
Intertemporales Gleichgewicht
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Kreditmarkt
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LIBOR market model
2
Monte Carlo
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Option pricing
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English
38
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Chiarella, Carl
2
Joshi, Mark S.
2
Li, Lingfei
2
Lioui, Abraham
2
Poncet, Patrice
2
Tang, Robert
2
Zhang, Gongqiu
2
Augustin, Patrick
1
Backhaus, Jochen
1
Badescu, Alexandru
1
Barletta, Andrea
1
Beveridge, Christopher
1
Blenman, Lloyd P.
1
Boppart, Timo
1
Branger, Nicole
1
Breton, Michèle
1
Cai, Ning
1
Chang, Chien-hung
1
Chen, Zheng
1
Cheng, Jun
1
Das, Sanjiv R.
1
Duffie, Darrell
1
Elliott, Robert J.
1
Escobar, Marcos
1
Ewald, Christian-Oliver
1
Fabozzi, Frank J.
1
Ferrando, Sebastian
1
Fontini, Fulvio
1
Fouda, Henri
1
Frey, Rüdiger
1
Füss, Roland
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Gao, Bin
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Guo, Ivan
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Guégan, Dominique
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Hassan, Nadima el
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Hu, Yuan
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Huang, Jing-Zhi
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Ibraimi, Meriton
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1
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Journal of economic dynamics & control
The journal of futures markets
188
International journal of theoretical and applied finance
155
Journal of banking & finance
93
Applied mathematical finance
76
Energy economics
70
Review of derivatives research
56
Quantitative finance
52
European journal of operational research : EJOR
47
Finance research letters
45
International review of financial analysis
44
Finance and stochastics
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
43
The journal of computational finance
42
The European journal of finance
40
International review of economics & finance : IREF
38
The journal of finance : the journal of the American Finance Association
37
Journal of mathematical finance
36
The journal of derivatives : the official publication of the International Association of Financial Engineers
35
NBER working paper series
34
Advances in futures and options research : a research annual
33
Journal of financial and quantitative analysis : JFQA
33
The North American journal of economics and finance : a journal of financial economics studies
33
SpringerLink / Bücher
30
Applied financial economics
29
Economics letters
29
International journal of financial engineering
29
Journal of financial economics
29
The review of financial studies
29
NBER Working Paper
27
The journal of derivatives : JOD
27
Risks : open access journal
26
Applied economics letters
24
Insurance / Mathematics & economics
24
Working paper / National Bureau of Economic Research, Inc.
24
The journal of credit risk : published quarterly by Incisive Media
23
Journal of risk and financial management : JRFM
21
Applied economics
20
Journal of econometrics
20
The journal of fixed income
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ECONIS (ZBW)
38
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38
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1
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
2
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
3
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
4
CDS Returns
Augustin, Patrick
;
Saleh, Fahad
;
Xu, Haohua
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
Saved in:
5
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
6
Perturbations in DSGE models : an odd derivatives theorem
Lott, Sherwin
- In:
Journal of economic dynamics & control
106
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012131998
Saved in:
7
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Saved in:
8
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
9
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
10
Interest rate swaps and corporate default
Jermann, Urban J.
;
Yue, Vivian Z.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 104-120
Persistent link: https://www.econbiz.de/10011973928
Saved in:
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