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~institution:"Centre for Analytical Finance <Århus>"
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Volatility and variance swaps...
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Theorie
26
Theory
26
Option pricing theory
24
Optionspreistheorie
24
Volatility
19
Volatilität
19
Stochastic process
17
Stochastischer Prozess
17
Time series analysis
7
Zeitreihenanalyse
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4
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Optionsgeschäft
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2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate derivative
2
Kleinste-Quadrate-Methode
2
Kointegration
2
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Book / Working Paper
48
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Arbeitspapier
40
Graue Literatur
40
Non-commercial literature
40
Working Paper
40
Language
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English
48
Author
All
Barndorff-Nielsen, Ole E.
7
Christiansen, Charlotte
4
Shephard, Neil G.
4
Sørensen, Michael
4
Christensen, Bent Jesper
3
Stentoft, Lars
3
Ørregaard Nielsen, Morten
3
Bibby, Bo Martin
2
Hansen, Peter Reinhard
2
Levendorskij, Sergej Z.
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shepard, Neil
2
Strunk Hansen, Charlotte
2
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Claus Vorm
1
Di Miscia, Orazio
1
Grasselli, M.R.
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Kiefer, Nicholas Maximilian
1
Mikkelsen, Peter
1
Nicolato, Elisa
1
Poulsen, R.
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Schmidli, Hanspeter
1
Shin Jensen, Malene
1
Skovgaard, Ib Michael
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Stelzer, Robert
1
Svenstrup, Mikkel
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
615
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
219
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
87
C.E.P.R. Discussion Papers
74
Institut für Schweizerisches Bankwesen <Zürich>
65
International Monetary Fund (IMF)
63
School of Economics and Management, University of Aarhus
52
HAL
44
EconWPA
42
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
38
Tinbergen Instituut
34
Department of Economics, Oxford University
32
Université Paris-Dauphine (Paris IX)
30
Society for Computational Economics - SCE
29
Agricultural and Applied Economics Association - AAEA
25
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
25
Finance Discipline Group, Business School
25
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
24
World Bank
24
Economics Group, Nuffield College, University of Oxford
23
Ekonomiska forskningsinstitutet <Stockholm>
23
National Centre of Competence in Research North South <Bern>
23
Tinbergen Institute
23
International Monetary Fund
21
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
21
European Central Bank
20
London School of Economics (LSE)
20
CESifo
19
Cowles Foundation for Research in Economics, Yale University
19
Svenska Handelshögskolan <Helsinki>
19
Reserve Bank of Australia
18
Chambre de commerce et d'industrie de Paris
17
Department of Economics and Finance, College of Business and Economics
16
Federal Reserve Bank of St. Louis
16
Springer Fachmedien Wiesbaden
16
Center for Economic Research <Tilburg>
15
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
14
Econometric Society
14
European Association of Agricultural Economists - EAAE
14
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
48
Source
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ECONIS (ZBW)
48
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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
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:
3
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:
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
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:
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
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
8
Hyperbolic processes in finance
Bibby, Bo Martin
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
Saved in:
9
Simulated likelihood approximations for stochastic
volatility
models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
10
Higher-order finite element solutions of options prices
Raahauge, Peter
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227622
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