//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"International journal of theoretical and applied finance"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Pricing VIX Derivatives with I...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Option pricing theory
467
Optionspreistheorie
467
Volatility
245
Volatilität
245
Stochastic process
238
Stochastischer Prozess
238
Theorie
195
Theory
195
Derivat
170
Derivative
170
Option trading
95
Optionsgeschäft
95
Hedging
79
Black-Scholes model
59
Black-Scholes-Modell
59
Credit risk
59
Kreditrisiko
59
Yield curve
55
Zinsstruktur
55
Portfolio selection
53
Portfolio-Management
53
CAPM
43
Swap
37
Markov chain
35
Markov-Kette
34
Statistical distribution
34
Statistische Verteilung
34
Monte Carlo simulation
31
Monte-Carlo-Simulation
31
option pricing
27
Martingal
24
Martingale
24
stochastic volatility
24
Credit derivative
23
Incomplete market
23
Kreditderivat
23
Unvollkommener Markt
23
Interest rate derivative
22
Risiko
22
Risk
22
more ...
less ...
Online availability
All
Undetermined
172
Type of publication
All
Article
613
Book / Working Paper
2
Type of publication (narrower categories)
All
Article in journal
615
Aufsatz in Zeitschrift
615
Conference paper
9
Konferenzbeitrag
9
Collection of articles of several authors
2
Mehrbändiges Werk
2
Multi-volume publication
2
Sammelwerk
2
more ...
less ...
Language
All
English
615
Author
All
Benth, Fred Espen
10
Levendorskij, Sergej Z.
10
Brigo, Damiano
9
Jeanblanc, Monique
9
Kwok, Yue-Kuen
9
Gapeev, Pavel V.
7
Takahashi, Akihiko
7
Elliott, Robert J.
6
Fabozzi, Frank J.
6
Avellaneda, Marco
5
Bojarčenko, Svetlana I.
5
Chiarella, Carl
5
Joshi, Mark S.
5
Oosterlee, Cornelis W.
5
Pallavicini, Andrea
5
Siu, Tak Kuen
5
Bielecki, Tomasz R.
4
Ehrhardt, Matthias
4
Ekström, Erik
4
Hess, Markus
4
Hughston, Lane P.
4
Hui, Cho H.
4
Liu, Rui Hua
4
Lo, C. F.
4
Macrina, Andrea
4
Račev, Svetlozar T.
4
Rebonato, Riccardo
4
Rutkowski, Marek
4
Schoutens, Wim
4
Wu, Lixin
4
Antonelli, Fabio
3
Arai, Takuji
3
Aurell, Erik
3
Bayraktar, Erhan
3
Bernard, Carole
3
Boyarchenko, Mitya
3
Brody, Dorje C.
3
Buescu, Cristin
3
Capriotti, Luca
3
Carmona, René
3
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
The journal of futures markets
872
MPRA Paper
828
NBER Working Papers
777
Energy economics
756
Finance research letters
717
NBER working paper series
692
Journal of banking & finance
640
Working paper / National Bureau of Economic Research, Inc.
561
Working Paper
541
NBER Working Paper
493
International review of financial analysis
487
Applied economics
434
International review of economics & finance : IREF
429
Research paper series / Swiss Finance Institute
421
CEPR Discussion Papers
414
ECB Working Paper
393
Economic modelling
393
The North American journal of economics and finance : a journal of financial economics studies
390
Working paper
363
Journal of econometrics
355
Applied financial economics
336
CESifo working papers
320
Mathematical finance : an international journal of mathematics, statistics and financial theory
315
Research in international business and finance
315
CESifo Working Paper
314
Journal of empirical finance
313
Quantitative finance
306
Applied economics letters
305
Swiss Finance Institute Research Paper
304
Applied mathematical finance
300
Economics letters
299
Journal of financial economics
299
The journal of derivatives : the official publication of the International Association of Financial Engineers
291
Journal of risk and financial management : JRFM
287
Discussion paper / Centre for Economic Policy Research
286
Discussion paper / Tinbergen Institute
283
The journal of computational finance
278
Economics Papers from University Paris Dauphine
276
Finance and stochastics
275
more ...
less ...
Source
All
ECONIS (ZBW)
615
Showing
1
-
10
of
615
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Exact pricing with stochastic
volatility
and jumps
D'Ippoliti, Fernanda
;
Moretto, Enrico
;
Pasquali, Sara
; …
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
Saved in:
2
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
3
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
4
Pricing joint claims on an asset and its realized variance in stochastic
volatility
models
Torricelli, Lorenzo
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009725085
Saved in:
5
Volatility
derivatives in market models with jumps
Lo, Harry
;
Mijatovi´c, Aleksandar
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
Saved in:
6
Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel
;
Hok, Julien
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
Saved in:
7
Volatility
derivatives and model-free implied leverage
Fukasawa, Masaaki
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
Saved in:
8
Pricing and hedging of energy spread options and
volatility
modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
9
Recursive algorithms for pricing discrete variance options and
volatility
swaps under time-changed Lévy processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
Saved in:
10
Multiscale stochastic
volatility
model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->