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Stochastic process
106
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106
Option pricing theory
87
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50
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The journal of computational finance
European journal of operational research : EJOR
751
International journal of theoretical and applied finance
338
Physica A: Statistical Mechanics and its Applications
328
Insurance / Mathematics & economics
292
The European Physical Journal B - Condensed Matter and Complex Systems
259
Journal of econometrics
244
International journal of production research
220
Finance and stochastics
209
Operations research
195
Computers & operations research : and their applications to problems of world concern ; an international journal
191
Mathematics of operations research
185
Operations research letters
184
Quantitative finance
179
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147
International journal of production economics
143
Risks : open access journal
137
Discussion paper / Tinbergen Institute
133
Applied mathematical finance
128
Stochastic Processes and their Applications
124
Mathematical finance : an international journal of mathematics, statistics and financial theory
118
Computational economics
114
Economics letters
103
Management science : journal of the Institute for Operations Research and the Management Sciences
97
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
95
Econometric reviews
91
Energy economics
91
MPRA Paper
91
Journal of mathematical finance
90
Finance research letters
89
Economic modelling
86
INFORMS journal on computing : JOC
86
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
85
Omega : the international journal of management science
84
Transportation research / E : an international journal
84
Mathematical methods of operations research
83
International journal of financial engineering
82
Working paper
82
Annals of operations research
76
Computational Management Science : CMS
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ECONIS (ZBW)
107
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107
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1
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
Gaß, Maximillian
;
Glau, Kathrin
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 79-105
Persistent link: https://www.econbiz.de/10014546290
Saved in:
2
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
3
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
Saved in:
4
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
5
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
6
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola
;
Guerra, Manuel
;
Guerra, João
; …
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
Saved in:
7
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Saved in:
8
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
9
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
10
Simulating the Cox-Ingersoll-Ross and Heston
processes
: matching the first four moments
Okhrin, Ostap
;
Rockinger, Michael
;
Schmid, Manuel
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 1-52
Persistent link: https://www.econbiz.de/10013549657
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