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~isPartOf:"International journal of theoretical and applied finance"
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Volatility
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Benth, Fred Espen
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Brigo, Damiano
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Madan, Dilip B.
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Crépey, S.
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International journal of theoretical and applied finance
NBER working paper series
1,462
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1,311
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1,235
Finance research letters
881
Energy economics
792
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420
Risks : open access journal
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CESifo working papers
398
Research in international business and finance
394
Journal of risk and financial management : JRFM
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Discussion paper / Tinbergen Institute
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362
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ECONIS (ZBW)
340
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1
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
2
An equilibrium-based model of stock-pinning
Nayak, Suhas
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 535-555
Persistent link: https://www.econbiz.de/10003463470
Saved in:
3
Probability distribution and option pricing for drawdown in a stochastic
volatility
environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
4
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen
;
Groth, Martin
;
Kettler, Paul C.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
Saved in:
5
Lower bound approximation to basket option values for local
volatility
jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
6
Switching to nonaffine stochastic
volatility
: a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
7
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
8
A parsimonious continous time model of equity index returns : (inferred from high frequency data)
Bedendo, Mascia
;
Hodges, Stewart D.
- In:
International journal of theoretical and applied finance
7
(
2004
)
8
,
pp. 997-1030
Persistent link: https://www.econbiz.de/10002476563
Saved in:
9
Historical
volatility
distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 417
Persistent link: https://www.econbiz.de/10001522909
Saved in:
10
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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