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~person:"Alòs, Elisa"
~person:"Howison, Sam"
~subject:"Stochastic volatility model"
~subject:"Volatilität"
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Search: subject:"Derivat <Wertpapier>"
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Stochastic volatility model
Volatilität
Derivat
15
Derivative
15
Optionspreistheorie
15
Option pricing theory
14
Volatility
10
Stochastic process
6
Stochastischer Prozess
6
Hedging
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Option trading
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Optionsgeschäft
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option pricing
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1
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1
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1
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Damped Levy-Stable
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Derivat <Wertpapier>
1
Derivative operator in the Malliavin calculus sense
1
Estimation
1
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1
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1
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Alòs, Elisa
Howison, Sam
Benth, Fred Espen
12
Gannon, Gerard L.
12
McAleer, Michael
10
Escobar, Marcos
9
Fouque, Jean-Pierre
9
Chang, Chia-Lin
7
Chiarella, Carl
7
Cui, Zhenyu
7
Kwok, Yue-Kuen
7
Park, Yang-Ho
7
Skiadopoulos, George
7
Zhang, Jin E.
7
Zheng, Wendong
7
Alexander, Carol
6
Farkas, Walter
6
Floros, Christos
6
Packham, Natalie
6
Papanicolaou, George
6
Schmidt, Wolfgang M.
6
Wang, Yaw-Huei
6
Au-Yeung, Siu Pang
5
Bauwens, Luc
5
Brigo, Damiano
5
Carr, Peter
5
Cont, Rama
5
Heston, Steven L.
5
Kallsen, Jan
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Kim, Sol
5
Kokholm, Thomas
5
Pierret, Diane
5
Trolle, Anders B.
5
Tsai, Wei-Che
5
Yaron, Amir
5
Azhar Mohamad
4
Baldeaux, Jan
4
Bhaumik, Sumon Kumar
4
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4
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Mathematical finance
4
Applied mathematical finance
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
International journal of theoretical and applied finance
1
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
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1
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
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
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
4
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
5
Matched asymptotic expansions in financial engineering
Howison, Sam
-
2005
Persistent link: https://www.econbiz.de/10009581648
Saved in:
6
On the pricing and hedging of volatility derivatives
Howison, Sam
;
Rafailidis, Avraam
;
Rasmussen, Henrik
-
2003
Persistent link: https://www.econbiz.de/10009581653
Saved in:
7
A note on the pricing and hedging of volatility derivatives
Howison, Sam
;
Rafailidis, A.
;
Rasmussen, H. O.
-
2001
Persistent link: https://www.econbiz.de/10009581664
Saved in:
8
Trading volume in models of financial derivatives
Howison, Sam
;
Lamper, David
-
2000
Persistent link: https://www.econbiz.de/10009581670
Saved in:
9
On the pricing and hedging of volatility derivatives
Howison, Sam
;
Rafailidis, Avraam
;
Rasmussen, Henrik
- In:
Applied mathematical finance
11
(
2004
)
4
,
pp. 317-346
Persistent link: https://www.econbiz.de/10002458545
Saved in:
10
Trading volume in models of financial derivatives
Howison, Sam
;
Lamper, David
- In:
Applied mathematical finance
8
(
2001
)
2
,
pp. 119-135
Persistent link: https://www.econbiz.de/10001628629
Saved in:
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