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~person:"Belke, Ansgar"
~person:"Fouque, Jean-Pierre"
~subject:"Energy price"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Energy price
Volatilität
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10
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Belke, Ansgar
Fouque, Jean-Pierre
Carr, Peter
21
Cui, Zhenyu
20
Zhang, Jin E.
18
Wang, Xingchun
15
Todorov, Viktor
14
Escobar, Marcos
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11
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11
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International journal of theoretical and applied finance
3
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1
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1
Asia-Pacific financial markets
1
Ekonomia : the journal of the Cyprus Economic Society
1
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1
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ECONIS (ZBW)
11
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1
Optimal investment with correlated stochastic volatility factors
Bichuch, Maxim
;
Fouque, Jean-Pierre
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 342-369
Persistent link: https://www.econbiz.de/10014278672
Saved in:
2
Option
pricing
under a stressed-beta model
Fouque, Jean-Pierre
;
Tashman, Adam P.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 183-203
Persistent link: https://www.econbiz.de/10009548095
Saved in:
3
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
4
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
Fouque, Jean-Pierre
;
Saporito, Y. F.
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1003-1016
Persistent link: https://www.econbiz.de/10011911259
Saved in:
5
Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre
;
Lorig, Matthew
;
Sircar, Kaushik Ronnie
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
Saved in:
6
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
7
Mean-reverting stochastic volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
Saved in:
8
Energy consumption and economic growth : new insights into the cointegration relationship
Belke, Ansgar
;
Dobnik, Frauke
;
Dreger, Christian
- In:
Energy economics
33
(
2011
)
5
,
pp. 782-789
Persistent link: https://www.econbiz.de/10009383055
Saved in:
9
From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
Saved in:
10
Exchange rate uncertainty and the German labour market: a cointegration application of the ARDL approach
Belke, Ansgar
- In:
Ekonomia : the journal of the Cyprus Economic Society
5
(
2001
)
1
,
pp. 8-46
Persistent link: https://www.econbiz.de/10001764402
Saved in:
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