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~person:"Fabozzi, Frank J."
~person:"Yamada, Yuji"
~source:"econis"
~subject:"ARCH model"
~subject:"Derivat"
~subject:"Option pricing theory"
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Search: subject_exact:"Financial+hedging"
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ARCH model
Derivat
Option pricing theory
Hedging
32
Derivative
17
Optionspreistheorie
9
Theorie
9
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9
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8
Portfolio-Management
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Fabozzi, Frank J.
Yamada, Yuji
Lien, Da-hsiang Donald
46
Broll, Udo
27
Hull, John
27
Kit, Pong Wong
22
McAleer, Michael
17
Alexander, Carol
16
Korn, Olaf
16
Madan, Dilip B.
15
Melʹnikov, Aleksandr V.
14
Engle, Robert F.
13
Chang, Chia-Lin
12
Platen, Eckhard
12
Rosenberg, Joshua V.
12
Benth, Fred Espen
11
Cotter, John
11
Hammoudeh, Shawkat
11
Kallsen, Jan
11
Schoutens, Wim
11
Frey, Rüdiger
10
Hess, Markus
10
Kavussanos, Manolis G.
10
Kohlmann, Michael
10
Černý, Aleš
10
Barbi, Massimiliano
9
Dhaene, Jan
9
Godin, Frédéric
9
Lee, Hsiang-Tai
9
Soner, Halil Mete
9
Tan, Ken Seng
9
Welzel, Peter
9
Carr, Peter
8
Dark, Jonathan
8
Elliott, Robert J.
8
Minton, Bernadette A.
8
Pedersen, Lasse Heje
8
Romagnoli, Silvia
8
Touzi, Nizar
8
Wahl, Jack E.
8
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5
The handbook of fixed income securities
2
The journal of portfolio management : a publication of Institutional Investor
2
Computational economics
1
Energy economics
1
European journal of operational research : EJOR
1
International journal of theoretical and applied finance
1
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1
Journal of economic dynamics & control
1
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1
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1
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1
The journal of derivatives : JOD
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
Saved in:
2
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
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
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:
5
Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives
Matsumoto, Takuji
;
Yamada, Yuji
- In:
Energy economics
95
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012816562
Saved in:
6
Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
Matsumoto, Takuji
;
Yamada, Yuji
- In:
Asia-Pacific financial markets
26
(
2019
)
2
,
pp. 211-227
Persistent link: https://www.econbiz.de/10012308054
Saved in:
7
Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
Yamada, Yuji
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011742282
Saved in:
8
The handbook of mortgage-backed securities
Fabozzi, Frank J.
(
ed.
)
-
2016
-
7th revised edition
Persistent link: https://www.econbiz.de/10011485010
Saved in:
9
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:
10
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
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