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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of fixed income"
~subject:"Risikoprämie"
~subject:"Theory"
~subject:"USA"
~subject:"Volatilität"
~subject:"Yield curve"
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Risikoprämie
Theory
USA
Volatilität
Yield curve
Option pricing theory
306
Optionspreistheorie
306
CAPM
162
Volatility
146
Stochastic process
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Fabozzi, Frank J.
5
Dunis, Christian
3
Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
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Kim, Jeong-Hoon
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McWalter, Thomas A.
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Radoičić, Radoš
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Alòs, Elisa
2
Barone-Adesi, Giovanni
2
Bayer, Christian
2
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2
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2
Carr, Peter
2
Chatterjee, Rupak
2
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Coakley, Jerry
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De Marco, Stefano
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Friz, Peter K.
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Hainaut, Donatien
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He, Xin-Jiang
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Ho, Thomas S. Y.
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2
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
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Quantitative finance
The European journal of finance
The journal of fixed income
Working paper / National Bureau of Economic Research, Inc.
692
NBER working paper series
549
NBER Working Paper
422
Economics letters
350
Discussion paper / Centre for Economic Policy Research
349
International journal of theoretical and applied finance
345
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343
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331
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307
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Finance research letters
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International review of economics & finance : IREF
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ECONIS (ZBW)
302
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
The Black-Scholes equation in the presence of arbitrage
Farinelli, Simone
;
Takada, Hideyuki
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2155-2170
Persistent link: https://www.econbiz.de/10013490935
Saved in:
5
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
6
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
7
Antinoise in U.S. equity markets
Cheng, Enoch
;
Struck, Clemens C.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2069-2087
Persistent link: https://www.econbiz.de/10012696815
Saved in:
8
Estimation risk and the implicit value of index-tracking
Clark, Brian
;
Edirisinghe, Chanaka
;
Simaan, Majeed
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
Saved in:
9
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
10
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
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