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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Black-Scholes-Modell"
~subject:"Dual optimization problem"
~subject:"Stochastic process"
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Search: "Energiepreis" OR "Energieversorgung" OR "Erdölpreis" OR "Ölpreis" OR "Rohstoff" OR "Rohstoffpreis"
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Black-Scholes-Modell
Dual optimization problem
Stochastic process
Hedging
65
Theorie
61
Theory
61
Option pricing theory
42
Optionspreistheorie
42
Stochastischer Prozess
16
Portfolio selection
15
Portfolio-Management
15
Transaction costs
13
Transaktionskosten
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Rohstoffderivat
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Search theory
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Suchtheorie
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hedging
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transaction costs
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Bermin, Hans-Peter
2
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Bardou, O.
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Biagini, Francesca
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Carr, Peter
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1
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1
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1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
52
Energy economics
46
Applied mathematical finance
21
Finance and stochastics
18
Quantitative finance
18
European journal of operational research : EJOR
16
Insurance / Mathematics & economics
15
The journal of futures markets
12
Journal of economic dynamics & control
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
Annals of finance
9
Journal of banking & finance
9
Computational Management Science : CMS
8
Mathematical methods of operations research
8
Review of derivatives research
8
CoFE discussion papers
7
Computational economics
7
Computers & operations research : and their applications to problems of world concern ; an international journal
7
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
7
International journal of financial engineering
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Discussion paper / Tinbergen Institute
6
Journal of mathematical finance
6
Risks : open access journal
6
The North American journal of economics and finance : a journal of financial economics studies
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Economic modelling
5
Journal of risk and financial management : JRFM
5
Operations research
5
Operations research letters
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
The European journal of finance
5
Working paper
5
Advanced mathematical methods for finance
4
Applied economics
4
Asia-Pacific financial markets
4
Discussion paper / B
4
Discussion papers of interdisciplinary research project 373
4
Finance research letters
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1
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
2
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
3
The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets
Benth, Fred Espen
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 595-625
Persistent link: https://www.econbiz.de/10009311688
Saved in:
4
CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.
;
Frikha, N.
;
Pagès, Gilles
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
Saved in:
5
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
6
Black-scholes representation for Asian options
Večeř, Jan
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
Saved in:
7
Limit theorems for partial hedging under transaction costs
Dolinsky, Yan
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
Saved in:
8
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
9
Series expansion of the SABR joint density
Wu, Qi
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
Saved in:
10
Efficient hedging of European options with robust convex loss functionals : a dual-representation formula
Hernández-Hernández, Daniel
;
Treviño Aguilar, Erick
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 99-115
Persistent link: https://www.econbiz.de/10008935700
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