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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~person:"Chiarella, Carl"
~person:"Friz, Peter K."
~person:"Gatheral, Jim"
~subject:"Volatilität"
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Volatilität
Option pricing theory
6
Optionspreistheorie
6
Stochastic process
5
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5
Volatility
5
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3
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Chiarella, Carl
Friz, Peter K.
Gatheral, Jim
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Kim, Jeong-Hoon
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
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
Guyon, Julien
2
Hainaut, Donatien
2
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2
Liu, Xiaoquan
2
Martini, Claude
2
Muguruza, Aitor
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1
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1
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1
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Quantitative finance
The European journal of finance
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
International journal of theoretical and applied finance
4
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
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
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
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
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
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