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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of fixed income"
~subject:"Risikoprämie"
~subject:"Volatilität"
~subject:"Yield curve"
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Risikoprämie
Volatilität
Yield curve
Option pricing theory
306
Optionspreistheorie
306
CAPM
162
Volatility
146
Stochastic process
134
Stochastischer Prozess
134
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122
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122
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Fabozzi, Frank J.
3
Felpel, Mike
3
Gatheral, Jim
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Horvath, Blanka Nora
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3
Kim, Jeong-Hoon
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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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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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2
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2
Pirjol, Dan
2
Realdon, Marco
2
Rosenbaum, Mathieu
2
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Quantitative finance
The European journal of finance
The journal of fixed income
International journal of theoretical and applied finance
220
Journal of banking & finance
194
Journal of financial economics
179
NBER working paper series
146
Working paper / National Bureau of Economic Research, Inc.
133
Finance research letters
131
NBER Working Paper
108
Applied mathematical finance
105
Mathematical finance : an international journal of mathematics, statistics and financial theory
104
The journal of futures markets
100
The review of financial studies
86
Journal of economic dynamics & control
85
The journal of computational finance
81
The North American journal of economics and finance : a journal of financial economics studies
79
Journal of empirical finance
78
Journal of econometrics
77
Research paper series / Swiss Finance Institute
74
Review of derivatives research
74
Finance and stochastics
71
International review of economics & finance : IREF
71
International review of financial analysis
71
The journal of finance : the journal of the American Finance Association
69
The journal of derivatives : the official publication of the International Association of Financial Engineers
67
International journal of financial engineering
66
Energy economics
55
Applied economics
53
Economic modelling
53
European journal of operational research : EJOR
52
Management science : journal of the Institute for Operations Research and the Management Sciences
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50
Review of quantitative finance and accounting
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49
Discussion paper / Centre for Economic Policy Research
48
Journal of financial and quantitative analysis : JFQA
47
Economics letters
46
Annals of finance
45
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42
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ECONIS (ZBW)
203
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203
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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
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:
3
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:
4
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:
5
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:
6
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:
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
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
9
The
pricing
of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
Saved in:
10
Option
pricing
under stochastic volatility models with latent volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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