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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~person:"Chiarella, Carl"
~person:"Friz, Peter K."
~person:"Gatheral, Jim"
~subject:"1996-1997"
~subject:"Erwartungsbildung"
~subject:"Volatilität"
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1996-1997
Erwartungsbildung
Volatilität
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
6
Stochastischer Prozess
6
Volatility
6
Expectation formation
3
Black-Scholes model
2
Black-Scholes-Modell
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European option pricing
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Moderate deviations
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8
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Chiarella, Carl
Friz, Peter K.
Gatheral, Jim
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
Garces, Len Patrick Dominic M.
2
González-Urteaga, Ana
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
Rubio, Gonzalo
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
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Quantitative finance
The European journal of finance
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
14
International journal of theoretical and applied finance
4
Journal of economic behavior & organization : JEBO
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Advances in Pacific Basin financial markets
1
Annals of finance
1
Applied Mathematics and Computation, Forthcoming
1
Computational economics
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Energy economics
1
Finance and stochastics
1
Handbook of computational economics : volume 3
1
Handbook of computational economics ; Volume 3
1
Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Nonlinear dynamics in economics, finance and social sciences : essays in honour of John Barkley Rosser Jr
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative Finance Research Centre Research Paper
1
Research paper / Quantitative Finance Research Group, University of Technology Sydney
1
The journal of computational finance
1
University of Technology Sydney Quantitative Finance Research Centre Research Paper
1
University of Technology Sydney Quantitative Finance Research Centre Working Paper
1
Wiley finance series
1
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
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ECONIS (ZBW)
8
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8
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date (oldest first)
1
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:
2
A generalization of the rational rough Heston approximation
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
Saved in:
3
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
4
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
5
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
6
The Zumbach effect under rough Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
Saved in:
7
Do heterogeneous beliefs diversify market risk?
Chiarella, Carl
;
Dieci, Roberto
;
He, Xue-zhong
- In:
The European journal of finance
17
(
2011
)
3/4
,
pp. 241-258
Persistent link: https://www.econbiz.de/10009155404
Saved in:
8
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives
Bhar, Ramaprasad
;
Chiarella, Carl
- In:
The European journal of finance
6
(
2000
)
2
,
pp. 113-125
Persistent link: https://www.econbiz.de/10001519354
Saved in:
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