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~person:"Fabozzi, Frank J."
~person:"Kallsen, Jan"
~subject:"Derivat"
~subject:"Optionspreistheorie"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Non-commercial literature"
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Derivat
Optionspreistheorie
Hedging
23
Option pricing theory
12
Portfolio selection
8
Portfolio-Management
8
Derivative
6
Theorie
6
Theory
6
Stochastic process
5
Stochastischer Prozess
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Option pricing
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15
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Fabozzi, Frank J.
Kallsen, Jan
Lien, Da-hsiang Donald
37
Broll, Udo
22
Kit, Pong Wong
19
Korn, Olaf
14
Melʹnikov, Aleksandr V.
13
Kohlmann, Michael
10
Yamada, Yuji
10
Platen, Eckhard
9
Welzel, Peter
9
Alexander, Carol
8
Carr, Peter
8
Soner, Halil Mete
8
Benth, Fred Espen
7
Cotter, John
7
Dhaene, Jan
7
Dolinsky, Yan
7
Frey, Rüdiger
7
Gündüz, Yalın
7
Härdle, Wolfgang
7
Rossi Júnior, José Luiz
7
Schoutens, Wim
7
Touzi, Nizar
7
Acharya, Viral V.
6
Adam-Müller, Axel F. A.
6
Bartram, Söhnke M.
6
Engle, Robert F.
6
Godin, Frédéric
6
Leippold, Markus
6
Madan, Dilip B.
6
Minton, Bernadette A.
6
Rosenberg, Joshua V.
6
Arai, Takuji
5
Brown, Gregory W.
5
Bühler, Wolfgang
5
Chung, San-lin
5
Conlon, Thomas
5
Elliott, Robert J.
5
García, Philip
5
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Review of derivatives research
2
The journal of portfolio management : a publication of Institutional Investor
2
Applied mathematical finance
1
Economics letters
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
Mathematics and financial economics
1
Mathematics of operations research
1
The journal of derivatives : JOD
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
1
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ECONIS (ZBW)
15
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1
Numeraire-invariant quadratic
hedging
and mean-variance portfolio allocation
Černý, Aleš
;
Czichowsky, Christoph
;
Kallsen, Jan
- In:
Mathematics of operations research
49
(
2024
)
2
,
pp. 752-781
Persistent link: https://www.econbiz.de/10014564364
Saved in:
2
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
3
Applications of FX derivatives in active currency risk management
Fabozzi, Frank J.
;
Vohra, Suprita
- In:
The journal of derivatives : JOD
29
(
2022
)
4
,
pp. 168-191
Persistent link: https://www.econbiz.de/10014231064
Saved in:
4
An improved method for pricing and
hedging
long dated American options
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Stanescu, Silvia
; …
- In:
European journal of operational research : EJOR
254
(
2016
)
2
,
pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
Saved in:
5
Option pricing and
hedging
with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
Mathematical finance : an international journal of …
25
(
2015
)
4
,
pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
Saved in:
6
Asymptotic power utility-based pricing and
hedging
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Vierthauer, Richard
- In:
Mathematics and financial economics
8
(
2014
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
Saved in:
7
Stochastic alpha-beta-rho
hedging
for foreign exchange options : is it worth the effort?
Yang, Yifan
;
Fabozzi, Frank J.
;
Bianchi, Michele Leonardo
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 76-89
Persistent link: https://www.econbiz.de/10011404590
Saved in:
8
Commercial real estate risk management with derivatives
Fabozzi, Frank J.
;
Stanescu, Silvia
;
Tunaru, Radu
- In:
The journal of portfolio management : a publication of …
39
(
2013
)
5
,
pp. 111-119
Persistent link: https://www.econbiz.de/10010209637
Saved in:
9
Option pricing and
hedging
under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
10
Variance-optimal
hedging
for time-changed Lévy processes
Kallsen, Jan
;
Pauwels, Arnd Philipp
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
Saved in:
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