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~language:"ces"
~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Grasselli, Martino"
~person:"Yu, Jun"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Article"
~type_genre:"Handbook"
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Stochastic process
Theorie
143
Theory
143
Portfolio selection
96
Portfolio-Management
96
Stochastischer Prozess
57
USA
56
United States
55
Volatility
55
Volatilität
55
Option pricing theory
52
Optionspreistheorie
52
CAPM
30
Capital income
27
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27
Derivat
25
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25
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24
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Börsenkurs
23
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Fabozzi, Frank J.
Grasselli, Martino
Yu, Jun
Escudero, Laureano F.
40
McAleer, Michael
31
Escobar, Marcos
29
Gendreau, Michel
25
Siu, Tak Kuen
25
Carr, Peter
24
Phillips, Peter C. B.
24
Hainaut, Donatien
23
Asai, Manabu
21
Benth, Fred Espen
21
Elliott, Robert J.
21
Wallace, Stein W.
21
Wong, Wing Keung
21
Cui, Zhenyu
20
Madan, Dilip B.
20
Todorov, Viktor
19
Tsionas, Efthymios G.
19
Wong, Hoi Ying
19
Račev, Svetlozar T.
18
Shapiro, Alexander
18
Tauchen, George Eugene
18
Maggioni, Francesca
16
Rossi, Roberto
16
Takahashi, Akihiko
16
Wang, Xingchun
16
Bayraktar, Erhan
15
Chan, Joshua
15
Post, Thierry
15
Tarim, S. Armagan
15
Chang, Hsu-Ling
14
Jeanblanc, Monique
14
Shen, Yang
14
Su, Chi-Wei
14
Chang, Tsangyao
13
Kim, Young Shin
13
Leung, Tim
13
Levendorskij, Sergej Z.
13
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International journal of theoretical and applied finance
6
Journal of econometrics
6
Econometric reviews
5
Computational economics
3
Journal of economic dynamics & control
3
Decisions in economics and finance : a journal of applied mathematics
2
Econometric theory
2
Economics letters
2
Insurance / Mathematics & economics
2
Review of derivatives research
2
Annals of economics and finance
1
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1
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1
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1
Asia-Pacific financial markets
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of risk
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics of operations research
1
Operations research letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of fixed income
1
The journal of trading
1
World Scientific handbook in financial economics series
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World scientific handbook in financial economics series
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ECONIS (ZBW)
57
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1
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
2
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
Saved in:
3
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
4
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
5
Long versus short time scales : the rough dilemma and beyond
Garcin, Matthieu
;
Grasselli, Martino
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 257-278
Persistent link: https://www.econbiz.de/10013380566
Saved in:
6
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
7
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia
;
Grasselli, Martino
;
Pagès, Gilles
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
Saved in:
8
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
9
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
10
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
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