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~isPartOf:"Quantitative finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Volatility
271
Volatilität
271
Option pricing theory
140
Optionspreistheorie
140
Stochastic process
98
Theorie
73
Theory
73
Estimation
49
Schätzung
48
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41
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Derivat
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Derivative
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Statistical distribution
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Option pricing
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Portfolio selection
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Portfolio-Management
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Black-Scholes model
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Black-Scholes-Modell
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Escobar, Marcos
4
Gatheral, Jim
4
Felpel, Mike
3
Kienitz, Jörg
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McWalter, Thomas A.
3
Radoičić, Radoš
3
Rosenbaum, Mathieu
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Horvath, Blanka Nora
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Kim, Jeong-Hoon
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Muguruza, Aitor
2
Pirjol, Dan
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Russo, Emilio
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Quantitative finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
135
Journal of econometrics
104
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
46
Econometric reviews
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European journal of operational research : EJOR
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Journal of mathematical finance
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Finance research letters
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Insurance / Mathematics & economics
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International journal of financial engineering
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Journal of banking & finance
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Annals of finance
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The journal of futures markets
31
Journal of empirical finance
30
Research paper series / Swiss Finance Institute
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Energy economics
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Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Review of derivatives research
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Journal of risk and financial management : JRFM
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CREATES research paper
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
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Economic modelling
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Journal of financial economics
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NBER working paper series
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ECONIS (ZBW)
98
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
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
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5
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
6
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
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7
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
8
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:
9
Implied roughness in the term structure of oil market volatility
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
Saved in:
10
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
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