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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Martingale"
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Martingale
Option pricing theory
467
Optionspreistheorie
467
Stochastic process
208
Stochastischer Prozess
208
Volatility
156
Volatilität
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Theorie
104
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option pricing
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stochastic volatility
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Arai, Takuji
2
Elliott, Robert J.
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Siu, Tak Kuen
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Badescu, Alexandru
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International journal of theoretical and applied finance
Finance and stochastics
32
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
Applied mathematical finance
10
Research paper series / Swiss Finance Institute
8
Journal of mathematical finance
7
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Risks : open access journal
6
Asia-Pacific financial markets
5
Mathematical methods of operations research
5
Quantitative finance
5
Swiss Finance Institute Research Paper
5
The journal of futures markets
5
International journal of financial engineering
4
Mathematics and financial economics
4
Review of derivatives research
4
Annals of finance
3
Journal of risk and financial management : JRFM
3
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3
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
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3
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2
Discussion paper series / LSE Financial Markets Group
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Energy economics
2
European journal of operational research : EJOR
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Mathematical finance
2
Operations research letters
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SFB 649 discussion paper
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Springer finance
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The journal of computational finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Applied economics
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Arbetsrapport / Sveriges Lantbruksuniversitet, Institutionen för Skogsekonomi
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Asia Pacific financial markets
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Astin bulletin : the journal of the International Actuarial Association
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Brazilian review of econometrics : the review of the Brazilian Econometric Society
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ECONIS (ZBW)
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1
An approximate approach to the exponential utility indifference
Arai, Takuji
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
Saved in:
2
An analysis of the supply curve for liquidity risk through book data
Blais, Marcel
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
Saved in:
3
Quadratic hedging for the Bates model
Hubalek, Friedrich
;
Sgarra, Carlo
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
Saved in:
4
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
5
Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia
;
Minozzo, Marco
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
Saved in:
6
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
7
European
option
pricing with liquidity shocks
Ludkovski, Michael
;
Shen, Qunying
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010233260
Saved in:
8
Pricing equations in jump-to-default models
Dyrssen, Hannah
;
Ekström, Erik
;
Tysk, Johan
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010364757
Saved in:
9
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
10
Generalized BN-S stochastic volatility model for
option
pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
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