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Search: subject:"SABR model"
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Stochastic volatility
145
Stochastische Volatilität
142
Volatilität
56
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53
Option pricing theory
52
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52
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49
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49
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48
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48
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30
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30
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22
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22
SABR model
22
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20
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20
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18
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18
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18
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18
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17
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17
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13
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75
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51
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96
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80
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64
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7
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162
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11
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3
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McAleer, Michael
17
Clark, Todd E.
14
Asai, Manabu
13
Huber, Florian
12
McCracken, Michael W.
8
Mertens, Elmar
8
Chang, Chia-Lin
7
Diebold, Francis X.
7
Schorfheide, Frank
7
Shin, Minchul
7
Aastveit, Knut Are
6
Carriero, Andrea
6
Chiarella, Carl
6
Crespo Cuaresma, Jesús
6
Peiris, Shelton
6
Takahashi, Akihiko
5
Chen, Jinghui
4
Kang, Boda
4
Kobayashi, Masahito
4
Marcellino, Massimiliano
4
Chen, Nan
3
Doppelhofer, Gernot
3
Feldkircher, Martin
3
Onorante, Luca
3
Reif, Magnus
3
Yang, Nian
3
Alòs, Elisa
2
Amin, Ahsan
2
Amir Ahmadi, Pooyan
2
Bates, David S.
2
Berger, Tino
2
Bruder, Benjamin
2
CHEN, BIN
2
Chakrabarti, Binay Bhushan
2
Chan, Jiun Hong
2
Choi, Jaehyuk
2
Den Haan, Wouter J.
2
Deschamps, Philippe J.
2
Dufrénot, Gilles
2
Elliott, Robert J.
2
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National Bureau of Economic Research
2
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1
Universität Trier
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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International journal of theoretical and applied finance
15
The journal of futures markets
11
International Journal of Theoretical and Applied Finance (IJTAF)
7
Quantitative finance
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Department of Economics working paper
6
Discussion paper / Tinbergen Institute
6
Econometric Institute research papers
6
Discussion paper / Centre for Economic Policy Research
4
Federal Reserve Bank of Cleveland working paper series
3
Journal of econometrics
3
Journal of economic dynamics & control
3
Journal of risk
3
Working paper
3
CESifo working papers
2
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2
Interest rate modelling after the financial crisis
2
NBER working paper series
2
The European journal of finance
2
Tinbergen Institute research series
2
Wiley finance series
2
Working paper / National Bureau of Economic Research, Inc.
2
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2
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
2
Applied Mathematical Finance
1
Applied quantitative finance
1
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1
Asia-Pacific Financial Markets
1
BIS Working Paper
1
CESifo Working Paper
1
CFM discussion paper series
1
CFS Working Paper
1
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1
Chapman & Hall/CRC financial mathematics series
1
Chapman and Hall/CRC financial mathematics series
1
Computational economics
1
Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía
1
Dynamic Modeling and Econometrics in Economics and Finance
1
Dynamic modeling and econometrics in economics and finance
1
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ECONIS (ZBW)
164
RePEc
11
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91
Measurement errors and monetary policy : then and now
Amir Ahmadi, Pooyan
;
Matthes, Christian
;
Wang, Mu-Chun
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 66-78
Persistent link: https://www.econbiz.de/10011817602
Saved in:
92
Approximate arbitrage-free option pricing under the
SABR
model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
93
Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.
;
Schorfheide, Frank
;
Shin, Minchul
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
Saved in:
94
Modeling and forecasting asset volatility
Bekierman, Jeremias
-
2017
Persistent link: https://www.econbiz.de/10011861477
Saved in:
95
Have standard VARS remained stable since the crisis?
Aastveit, Knut Are
;
Carriero, Andrea
;
Clark, Todd E.
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 931-951
Persistent link: https://www.econbiz.de/10011862290
Saved in:
96
An empirical comparison of stochastic volatility models on stock indices
Lu, Chao
- In:
Waseda business & economic studies
52
(
2017
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012155217
Saved in:
97
Implementation of local stochastic volatility model in FX derivatives
Zheng, J.
;
Yuan, X.
- In:
Applied quantitative finance
,
(pp. 57-69)
.
2017
Persistent link: https://www.econbiz.de/10011794953
Saved in:
98
Structural breaks in Taylor rule based exchange rate models : evidence from threshold time varying parameter models
Huber, Florian
- In:
Economics letters
150
(
2017
),
pp. 48-52
Persistent link: https://www.econbiz.de/10011762629
Saved in:
99
Exact simulation of the
SABR
model
Cai, Ning
;
Song, Yingda
;
Chen, Nan
- In:
Operations research
65
(
2017
)
4
,
pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
Saved in:
100
Systemic risk via dynamic correlations
Dellaportas, Petros
;
Plataniotis, Anastasios
;
Titsias, …
- In:
Systemic risk tomography : signals, measurement and …
,
(pp. 3-41)
.
2017
Persistent link: https://www.econbiz.de/10011617877
Saved in:
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