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~isPartOf:"Working papers / Universitat Pompeu Fabra, Department of Economics and Business"
~language:"deu"
~language:"eng"
~person:"Alòs, Elisa"
~person:"Chiarella, Carl"
~person:"Farmer, Roger E. A."
~person:"Kamihigashi, Takashi"
~person:"Xu, Yongdeng"
~subject:"Börsenkurs"
~subject:"Chaos theory"
~subject:"Dynamische Makroökonomie"
~subject:"Makroökonomik"
~subject:"Monetäre Wachstumstheorie"
~subject:"Volatility"
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Börsenkurs
Chaos theory
Dynamische Makroökonomie
Makroökonomik
Monetäre Wachstumstheorie
Volatility
Option pricing theory
10
Optionspreistheorie
10
Stochastic process
8
Stochastischer Prozess
8
Volatilität
7
Black-Scholes model
2
Black-Scholes-Modell
2
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2
Derivat
1
Derivative
1
Forward starting options
1
Malliavin calculus
1
Markov chain
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Markov-Kette
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Theory
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implied volatility
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stochastic volatility models
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Alòs, Elisa
Chiarella, Carl
Farmer, Roger E. A.
Kamihigashi, Takashi
Xu, Yongdeng
Galí, Jordi
6
León, Jorge A.
4
Voth, Hans-Joachim
4
Ventura, Jaume
3
Vives, Josep
3
Carvalho, Vasco M.
2
Di Giovanni, Julian
2
Gambetti, Luca
2
Noussair, Charles
2
Rens, Thijs van
2
Alos, Elisa
1
Barnichon, Régis
1
Bon glioliy, Alessandra
1
Bosch Domènech, Antoni
1
Bosch-Rosa, Ciril
1
Broner, Fernando
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Giusti, Giovani
1
Giusti, Giovanni
1
Hale, Galina
1
Häfke, Christian
1
Ippolito, Filippo
1
Jacquier, Antoine
1
Jeenas, Priit
1
Lagos, Ricardo
1
Levchenko, Andrei A.
1
Martin, Alberto
1
Meissner, Thomas
1
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1
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1
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
15
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Discussion paper series / Research Institute for Economics and Business Administration, Kobe University
9
Diskussionsarbeit
8
Cardiff economics working papers
7
Discussion paper / Centre for Economic Policy Research
3
Journal of economic behavior & organization : JEBO
2
NBER Working Paper
2
U. of Technology, Sydney Finance and Economics Working Paper
2
Working paper / National Bureau of Economic Research, Inc.
2
[Diskussionsarbeiten der Fakultät für Wirtschaftswissenschaften der Universität Bielefeld
2
Discussion papers / National Institute of Economic and Social Research
1
Dynamische Wirtschaftstheorie
1
Economics letters
1
Growth and cycle in the Euro-zone
1
Lecture notes in economics and mathematical systems : LNEMS
1
Moderne Makroökonomik : eine kritische Bestandsaufnahme ; [Herbsttagung des Arbeitskreises Politische Ökonomie (die Tagung fand in Neuendettelsau vom 28.- 30. Oktober 1994 statt)]
1
NBER working paper series
1
Springer eBook Collection / Business and Economics
1
SpringerLink / Bücher
1
Symposium on nonlinear econometrics and economic theory
1
UTS School of Finance and Economics Working Paper
1
What's the use of economics? : Teaching the dismal science after the crisis ; [... a conference hosted by the Government Economic Service, GES and the Bank of England in February 2012 ...]
1
Working paper series / School of Finance and Economics, Faculty of Business, University of Technology
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ECONIS (ZBW)
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1
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
2
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
3
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
4
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
5
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
6
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
7
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa
(
contributor
);
León, Jorge A.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003379784
Saved in:
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