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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Monte-Carlo-Simulation"
~subject:"Portfolio-Management"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
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Monte-Carlo-Simulation
Portfolio-Management
Prognoseverfahren
Volatilität
Option pricing theory
277
Optionspreistheorie
277
Volatility
143
CAPM
134
Stochastic process
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Bayer, Christian
6
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4
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3
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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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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
253
Journal of banking & finance
203
Finance research letters
162
Journal of financial economics
153
NBER working paper series
131
Working paper / National Bureau of Economic Research, Inc.
123
Mathematical finance : an international journal of mathematics, statistics and financial theory
121
Applied mathematical finance
111
Finance and stochastics
107
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105
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103
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103
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102
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96
Research paper series / Swiss Finance Institute
96
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92
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90
International review of economics & finance : IREF
86
The North American journal of economics and finance : a journal of financial economics studies
86
International review of financial analysis
84
Journal of econometrics
79
The review of financial studies
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International journal of financial engineering
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Insurance / Mathematics & economics
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The journal of finance : the journal of the American Finance Association
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The journal of derivatives : the official publication of the International Association of Financial Engineers
53
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ECONIS (ZBW)
232
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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
Technical analysis as a sentiment barometer and the cross-section of stock returns
Ding, Wenjie
;
Mazouz, Khelifa
;
Ap Gwilym, Owain
;
Wang, …
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1617-1636
Persistent link: https://www.econbiz.de/10014419182
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
Optimal characteristic portfolios
McGee, Richard J.
;
Olmo, Jose
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1853-1870
Persistent link: https://www.econbiz.de/10013367958
Saved in:
10
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
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