//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~institution:"Centre for Analytical Finance <Århus>"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Local volatility models in com...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Option pricing theory
24
Optionspreistheorie
24
Theorie
20
Theory
20
Volatility
19
Volatilität
19
Stochastic process
6
Stochastischer Prozess
6
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Option trading
4
Optionsgeschäft
4
USA
4
United States
4
Estimation
3
Schätzung
3
Aktienoption
2
Black-Scholes model
2
Black-Scholes-Modell
2
Bond market
2
Currency option
2
Devisenoption
2
Estimation theory
2
Führungskräfte
2
Hedging
2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate derivative
2
Kleinste-Quadrate-Methode
2
Least squares method
2
Managers
2
Pfund Sterling
2
Pound Sterling
2
Rentenmarkt
2
Schätztheorie
2
Spillover effect
2
more ...
less ...
Type of publication
All
Book / Working Paper
38
Type of publication (narrower categories)
All
Arbeitspapier
33
Graue Literatur
33
Non-commercial literature
33
Working Paper
33
Language
All
English
38
Author
All
Christiansen, Charlotte
4
Christensen, Bent Jesper
3
Stentoft, Lars
3
Barndorff-Nielsen, Ole E.
2
Hansen, Peter Reinhard
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shephard, Neil G.
2
Strunk Hansen, Charlotte
2
Søndergaard Rasmussen, Nicki
2
Sørensen, Michael
2
Bibby, Bo Martin
1
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Claus Vorm
1
Grasselli, M.R.
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Kiefer, Nicholas Maximilian
1
Levendorskij, Sergej Z.
1
Mikkelsen, Peter
1
Nicolato, Elisa
1
Poulsen, R.
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Shepard, Neil
1
Shin Jensen, Malene
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Svenstrup, Mikkel
1
Sørensen, Helle
1
Uys, N.
1
Venardos, Emmanouil
1
Ørregaard Nielsen, Morten
1
Širjaev, Alʹbert N.
1
more ...
less ...
Institution
All
Centre for Analytical Finance <Århus>
National Bureau of Economic Research
643
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
177
C.E.P.R. Discussion Papers
58
Institut für Schweizerisches Bankwesen <Zürich>
57
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
44
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
38
HAL
32
EconWPA
30
International Monetary Fund
27
UNCTAD / Secretariat
27
Université Paris-Dauphine (Paris IX)
27
World Bank
27
Ekonomiska forskningsinstitutet <Stockholm>
23
Agricultural and Applied Economics Association - AAEA
22
OECD
21
UNCTAD
21
Svenska Handelshögskolan <Helsinki>
19
National Centre of Competence in Research North South <Bern>
18
Reserve Bank of Australia
17
CESifo
16
Center for Economic Research <Tilburg>
16
Chambre de commerce et d'industrie de Paris
16
University of Canterbury / Dept. of Economics and Finance
16
Association of European Conjuncture Institutes / Working Group on Commodity Prices
15
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
15
Federal Reserve Bank of St. Louis
15
Society for Computational Economics - SCE
15
Internationaler Währungsfonds / Research Department
14
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
13
European Association of Agricultural Economists - EAAE
13
Inter-American Development Bank
13
Weltbank
13
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
12
Department of Economics and Finance, College of Business and Economics
12
European University Institute / Department of Economics
12
Verlag Dr. Kovač
12
Cowles Foundation for Research in Economics, Yale University
11
Institut für Weltwirtschaft
11
Institute of Economic Research, Kyoto University
11
more ...
less ...
Published in...
All
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
38
Source
All
ECONIS (ZBW)
38
Showing
1
-
10
of
38
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Option pricing in stochastic
volatility
models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
2
Pricing american options when the underlying stock price exhibits time-vaying
volatility
Stentoft, Lars
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690047
Saved in:
3
Power and bipower variation with stocjastic
volatility
and jumps
Brandorff-Nielsen, Ole E.
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763251
Saved in:
4
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
Saved in:
5
Barrier options and touch-and-out options under regular Lévy processes of exponential type
Bojarčenko, Svetlana I.
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543244
Saved in:
6
New evidence on the implied-realized
volatility
relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
7
Hedging with a misspecified model
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724264
Saved in:
8
Higher-order finite element solutions of options prices
Raahauge, Peter
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227622
Saved in:
9
On Asian options of American type
Peskir, Goran
(
contributor
);
Uys, N.
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002167504
Saved in:
10
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->