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~isPartOf:"International journal of financial engineering"
~subject:"Volatility"
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Option valuation, optimization...
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Volatility
Option pricing theory
116
Optionspreistheorie
116
Stochastic process
66
Stochastischer Prozess
66
Portfolio selection
60
Portfolio-Management
60
Volatilität
50
Option trading
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Optionsgeschäft
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option pricing
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Cui, Zhenyu
3
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International journal of financial engineering
Energy economics
201
International journal of theoretical and applied finance
169
The journal of futures markets
140
Finance research letters
133
Quantitative finance
125
Journal of banking & finance
121
International review of financial analysis
82
Applied mathematical finance
81
The North American journal of economics and finance : a journal of financial economics studies
76
International review of economics & finance : IREF
72
Mathematical finance : an international journal of mathematics, statistics and financial theory
68
The journal of computational finance
66
Economic modelling
63
Applied economics
58
Journal of econometrics
54
European journal of operational research : EJOR
53
Journal of empirical finance
53
Journal of financial economics
51
Computational economics
49
Review of derivatives research
49
Journal of economic dynamics & control
47
Risks : open access journal
47
Research paper series / Swiss Finance Institute
46
Finance and stochastics
45
Journal of risk and financial management : JRFM
44
Journal of mathematical finance
42
Working paper
42
The journal of derivatives : the official publication of the International Association of Financial Engineers
41
The European journal of finance
40
Research in international business and finance
38
Review of quantitative finance and accounting
37
NBER working paper series
36
Journal of international financial markets, institutions & money
35
Applied economics letters
34
Insurance / Mathematics & economics
34
Annals of finance
32
Swiss Finance Institute Research Paper
31
Working paper / National Bureau of Economic Research, Inc.
31
International Journal of Energy Economics and Policy : IJEEP
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1
Basel regulatory capital formula revised
Yang, Yimin
;
Wu, Min
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
Saved in:
2
A time consistent derivative strategy
Mudzimbabwe, Walter
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
Saved in:
3
Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili
;
Shen, Jiaqi
;
Zhao, Liheng
;
Qin, Haoyang
; …
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
Saved in:
4
Stochastic volatility for utility maximizers : a martingale approach
Ellersgaard, Simon
;
Tegnér, Martin
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011922965
Saved in:
5
Revisiting variance gamma pricing : an application to S&P500
index
options
Mozumder, Sharif
;
Sorwar, Ghulam
;
Dowd, Kevin
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
Saved in:
6
Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël
;
Dhaene, Jan
;
Schoutens, Wim
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
Saved in:
7
A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
Saved in:
8
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Shokrollahi, Foad
;
Kılıçman, Adem
;
Magdziarz, Marcin
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011532750
Saved in:
9
Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa
;
Yuan, George
;
Guo, Shimin
;
Liu, Jianguo
; …
- In:
International journal of financial engineering
2
(
2015
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
Saved in:
10
Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd
;
Koster, Frank
;
Oeltz, Daniel
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
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