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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Stochastic process"
~subject:"Yield curve"
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Stochastic process
Yield curve
Option pricing theory
277
Optionspreistheorie
277
Volatility
143
Volatilität
143
CAPM
134
Stochastischer Prozess
134
Theorie
87
Theory
87
Option trading
70
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70
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68
Derivative
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151
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Gatheral, Jim
4
Bayer, Christian
3
Felpel, Mike
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Hainaut, Donatien
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3
Kim, Jeong-Hoon
3
McWalter, Thomas A.
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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
255
Finance and stochastics
109
Applied mathematical finance
106
The journal of computational finance
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
98
European journal of operational research : EJOR
89
Insurance / Mathematics & economics
75
International journal of financial engineering
71
Journal of banking & finance
64
Journal of financial economics
59
Journal of economic dynamics & control
58
Review of derivatives research
57
Journal of mathematical finance
56
Finance research letters
53
Computational economics
52
The journal of futures markets
52
Risks : open access journal
51
Journal of econometrics
41
The journal of derivatives : the official publication of the International Association of Financial Engineers
41
Annals of finance
40
Asia-Pacific financial markets
40
Research paper series / Swiss Finance Institute
40
The North American journal of economics and finance : a journal of financial economics studies
38
NBER working paper series
35
The review of financial studies
34
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
33
The journal of fixed income
32
Mathematics and financial economics
29
NBER Working Paper
29
Management science : journal of the Institute for Operations Research and the Management Sciences
27
Working paper / National Bureau of Economic Research, Inc.
26
Discussion paper / B
24
Journal of risk and financial management : JRFM
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Swiss Finance Institute Research Paper
24
The journal of finance : the journal of the American Finance Association
24
Economic modelling
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Energy economics
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International review of financial analysis
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ECONIS (ZBW)
151
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151
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1
A default contagion model for
pricing
defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Saved in:
2
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:
3
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:
4
Deep reinforcement learning for option
pricing
and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
5
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:
6
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:
7
Efficient
pricing
and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Saved in:
8
Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas
;
Grzelak, Lech A.
;
Deelstra, Griselda
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 707-723
Persistent link: https://www.econbiz.de/10013367854
Saved in:
9
Smooth ambiguity preferences and asset prices with a jump-diffusion process
Suzuki, Masataka
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 871-887
Persistent link: https://www.econbiz.de/10013367866
Saved in:
10
Bond indifference prices
Lorig, Matthew
;
Zou, Bin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
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