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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of fixed income"
~subject:"Risikoprämie"
~subject:"Theory"
~subject:"Volatilität"
~subject:"Yield curve"
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Risikoprämie
Theory
Volatilität
Yield curve
Option pricing theory
306
Optionspreistheorie
306
CAPM
162
Volatility
146
Stochastic process
134
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Fabozzi, Frank J.
5
Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
3
Jacquier, Antoine
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Kienitz, Jörg
3
Kim, Jeong-Hoon
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3
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2
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2
Bayer, Christian
2
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2
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2
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2
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2
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De Marco, Stefano
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2
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2
He, Xin-Jiang
2
Heston, Steven L.
2
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2
Kim, Young Shin
2
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2
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2
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
1
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Quantitative finance
The European journal of finance
The journal of fixed income
NBER working paper series
481
Working paper / National Bureau of Economic Research, Inc.
465
NBER Working Paper
394
International journal of theoretical and applied finance
342
Economics letters
338
Journal of banking & finance
325
Mathematical finance : an international journal of mathematics, statistics and financial theory
321
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308
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301
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296
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271
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ECONIS (ZBW)
285
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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
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:
8
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:
9
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:
10
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
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