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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatilität"
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Monte-Carlo-Simulation
Volatilität
Option pricing theory
277
Optionspreistheorie
277
Volatility
143
CAPM
134
Stochastic process
134
Stochastischer Prozess
134
Theorie
87
Theory
87
Option trading
70
Optionsgeschäft
70
Derivat
68
Derivative
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Portfolio-Management
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Kapitaleinkommen
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Börsenkurs
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Share price
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Option pricing
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Bayer, Christian
6
Gatheral, Jim
4
Radoičić, Radoš
4
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
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Kim, Jeong-Hoon
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McWalter, Thomas A.
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Pirjol, Dan
3
Tempone, Raúl
3
Wong, Hoi Ying
3
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2
Alòs, Elisa
2
Ben Hammouda, Chiheb
2
Bunn, Derek W.
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
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Coakley, Jerry
2
De Marco, Stefano
2
Dunis, Christian
2
Friz, Peter K.
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Funahashi, Hideharu
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Garces, Len Patrick Dominic M.
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Schoutens, Wim
2
Sit, Tony
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Song, Shiyu
2
Tudor, Sebastian F.
2
Wang, Xiaoqun
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Yamazaki, Akira
2
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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
200
Journal of banking & finance
114
The journal of computational finance
101
Applied mathematical finance
95
The journal of futures markets
95
Finance research letters
83
Mathematical finance : an international journal of mathematics, statistics and financial theory
83
Journal of financial economics
72
Journal of econometrics
67
European journal of operational research : EJOR
62
Finance and stochastics
61
The North American journal of economics and finance : a journal of financial economics studies
59
Review of derivatives research
58
Journal of economic dynamics & control
57
International journal of financial engineering
55
Computational economics
54
Working paper / National Bureau of Economic Research, Inc.
52
Energy economics
50
NBER working paper series
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International review of economics & finance : IREF
49
Research paper series / Swiss Finance Institute
48
The journal of derivatives : the official publication of the International Association of Financial Engineers
48
Journal of empirical finance
46
Management science : journal of the Institute for Operations Research and the Management Sciences
43
Journal of mathematical finance
42
International review of financial analysis
41
NBER Working Paper
41
Economic modelling
38
Applied economics
37
Risks : open access journal
36
Journal of risk and financial management : JRFM
35
Annals of finance
33
Insurance / Mathematics & economics
31
Swiss Finance Institute Research Paper
31
Review of quantitative finance and accounting
30
The journal of finance : the journal of the American Finance Association
30
The review of financial studies
29
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
27
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ECONIS (ZBW)
166
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Multivariate GARCH with dynamic beta
Raddant, Matthias
;
Wagner, Friedrich
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1324-1343
Persistent link: https://www.econbiz.de/10013532205
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