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The 4/2 stochastic volatility...
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44
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43
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39
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38
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37
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36
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Xuan Vinh Vo
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34
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34
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33
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31
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29
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28
Ryu, Doojin
28
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28
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27
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25
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Finance research letters
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Energy economics
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European journal of operational research : EJOR
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The North American journal of economics and finance : a journal of financial economics studies
327
International review of financial analysis
320
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186
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170
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Journal of empirical finance
138
International journal of financial engineering
136
Operations research
136
Journal of economic dynamics & control
132
Journal of international financial markets, institutions & money
129
The journal of futures markets
129
Pacific-Basin finance journal
128
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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SpringerLink / Bücher
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Mathematics of operations research
114
Management science : journal of the Institute for Operations Research and the Management Sciences
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Physica A: Statistical Mechanics and its Applications
111
International journal of production research
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Journal of international money and finance
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Finance and stochastics
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International journal of forecasting
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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date (oldest first)
1
Analytical solvability and exact simulation in models with affine stochastic
volatility
and Lévy jumps
Zeng, Pingping
;
Xu, Ziqing
;
Jiang, Pingping
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
Saved in:
2
Shot-noise cojumps : exact simulation and option pricing
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
Saved in:
3
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
4
Volatility
is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
5
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
6
Occupation times of Lévy processes
Wu, Lan
;
Zhang, Xiao
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
Saved in:
7
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500
volatility
dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
Saved in:
8
Exact simulation of the Ornstein-Uhlenbeck driven stochastic
volatility
model
Li, Chenxu
;
Wu, Linjia
- In:
European journal of operational research : EJOR
275
(
2019
)
2
,
pp. 768-779
Persistent link: https://www.econbiz.de/10011993586
Saved in:
9
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
10
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
72
(
2021
)
2
,
pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
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