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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~language:"eng"
~subject:"Volatilität"
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Volatilität
Option pricing theory
280
Optionspreistheorie
280
Volatility
146
CAPM
137
Stochastic process
136
Stochastischer Prozess
136
Theorie
89
Theory
89
Option trading
72
Optionsgeschäft
72
Derivat
70
Derivative
70
Portfolio selection
68
Portfolio-Management
68
Capital income
64
Kapitaleinkommen
64
Börsenkurs
53
Share price
53
Estimation
44
Schätzung
43
Hedging
40
Black-Scholes model
34
Black-Scholes-Modell
34
Option pricing
32
Monte Carlo simulation
31
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31
Experiment
30
Risiko
30
Risk
30
Yield curve
28
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28
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26
Prognoseverfahren
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Stochastic volatility
26
Aktienmarkt
21
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21
Risikoprämie
20
Risk premium
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144
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Gatheral, Jim
4
Radoičić, Radoš
4
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Kim, Jeong-Hoon
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Bayer, Christian
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Coakley, Jerry
2
De Marco, Stefano
2
Dunis, Christian
2
Friz, Peter K.
2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
He, Xin-Jiang
2
Liu, Xiaoquan
2
Martini, Claude
2
Muguruza, Aitor
2
Rosenbaum, Mathieu
2
Schoutens, Wim
2
Song, Shiyu
2
Tudor, Sebastian F.
2
Yamazaki, Akira
2
Yang, Nian
2
Zhu, Song-Ping
2
Ziveyi, Jonathan
2
AbaOud, Mohammed A.
1
Abergel, Frédéric
1
Abi Jaber, Eduardo
1
Agapova, Anna
1
Agarwal, Ankush
1
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Published in...
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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
175
Journal of banking & finance
112
The journal of futures markets
91
Applied mathematical finance
85
Finance research letters
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of financial economics
71
The journal of computational finance
66
Journal of econometrics
65
Review of derivatives research
55
The North American journal of economics and finance : a journal of financial economics studies
53
International journal of financial engineering
49
International review of economics & finance : IREF
49
Journal of economic dynamics & control
49
Working paper / National Bureau of Economic Research, Inc.
49
NBER working paper series
48
Energy economics
47
European journal of operational research : EJOR
47
Finance and stochastics
47
Research paper series / Swiss Finance Institute
46
Journal of empirical finance
45
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
Computational economics
41
NBER Working Paper
39
International review of financial analysis
38
Economic modelling
37
Journal of mathematical finance
37
Management science : journal of the Institute for Operations Research and the Management Sciences
37
Annals of finance
33
Applied economics
32
Review of quantitative finance and accounting
30
Risks : open access journal
30
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
30
The review of financial studies
30
Insurance / Mathematics & economics
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
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ECONIS (ZBW)
146
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146
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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
Investigation of the effect of global EPU spillovers on country-level stock market idiosyncratic volatility
Caglayan, Mustafa O.
;
Gong, Yuting
;
Xue, Wenjun
- In:
The European journal of finance
30
(
2024
)
11
,
pp. 1212-1238
Persistent link: https://www.econbiz.de/10014636443
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
Mean-variance portfolio with wealth and volatility dependent risk aversion
Liu, Shican
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 735-751
Persistent link: https://www.econbiz.de/10015050791
Saved in:
7
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:
8
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:
9
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:
10
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:
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