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~isPartOf:"Finance research letters"
~subject:"Stochastischer Prozess"
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Option valuation, optimization...
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Stochastischer Prozess
Portfolio selection
472
Portfolio-Management
472
Theorie
195
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195
Capital income
138
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Finance research letters
International journal of theoretical and applied finance
246
Insurance / Mathematics & economics
141
Quantitative finance
133
Finance and stochastics
115
European journal of operational research : EJOR
113
Applied mathematical finance
101
The journal of computational finance
90
Mathematical finance : an international journal of mathematics, statistics and financial theory
85
International journal of financial engineering
66
Risks : open access journal
63
Computational economics
62
Journal of mathematical finance
62
Journal of economic dynamics & control
55
The journal of futures markets
45
Annals of finance
44
Journal of banking & finance
44
Review of derivatives research
44
The North American journal of economics and finance : a journal of financial economics studies
38
Mathematical methods of operations research
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Research paper series / Swiss Finance Institute
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Journal of econometrics
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Asia-Pacific financial markets
29
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28
Mathematical finance : an international journal of mathematics, statistics and financial economics
28
Scandinavian actuarial journal
24
The European journal of finance
24
Economic modelling
23
Mathematics of operations research
22
Operations research letters
22
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Applied economics
18
Journal of financial economics
18
Swiss Finance Institute Research Paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
17
IMA journal of management mathematics
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ECONIS (ZBW)
56
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1
Merton's portfolio problem under Volterra Heston model
Han, Bingyan
;
Wong, Hoi Ying
- In:
Finance research letters
39
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
Saved in:
2
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
3
Generalized two-barrier proportional step options
Li, Xin
- In:
Finance research letters
51
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014288833
Saved in:
4
Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie
;
Gray, Philip K.
- In:
Finance research letters
2
(
2005
)
1
,
pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
Saved in:
5
A jump-diffusion approach to modelling vulnerable option pricing
Xu, Weidong
;
Xu, Weijun
;
Li, Hongyi
;
Xiao, Weilin
- In:
Finance research letters
9
(
2012
)
1
,
pp. 48-56
Persistent link: https://www.econbiz.de/10009575333
Saved in:
6
A common jump factor stochastic volatility model
Laurini, Márcio Poletti
;
Mauad, Roberto Baltieri
- In:
Finance research letters
12
(
2015
),
pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
Saved in:
7
Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin
;
Richard, Jean-François
- In:
Finance research letters
12
(
2015
),
pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
Saved in:
8
Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Hu, Jun
;
Kanniainen, Juho
- In:
Finance research letters
14
(
2015
),
pp. 1-10
Persistent link: https://www.econbiz.de/10011552564
Saved in:
9
Quadratic hedging strategies for volatility swaps
Wang, Xingchun
;
Fu, Jianping
;
Wang, Guanying
;
Wang, Yongjin
- In:
Finance research letters
15
(
2015
),
pp. 125-132
Persistent link: https://www.econbiz.de/10011553014
Saved in:
10
Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel
- In:
Finance research letters
15
(
2015
),
pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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