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~isPartOf:"International journal of theoretical and applied finance"
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Stochastic process
324
Stochastischer Prozess
324
Option pricing theory
234
Optionspreistheorie
234
Volatility
149
Volatilität
149
Theorie
130
Theory
130
Derivat
66
Derivative
66
Portfolio selection
64
Portfolio-Management
64
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Estimation theory
39
Schätztheorie
39
Hedging
34
Option trading
34
Optionsgeschäft
34
Yield curve
32
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32
Black-Scholes model
31
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31
Credit risk
28
Kreditrisiko
28
Statistical distribution
25
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25
stochastic volatility
24
Experiment
22
option pricing
21
Markov chain
20
Markov-Kette
20
CAPM
19
Analysis
17
Mathematical analysis
17
Stochastic volatility
17
Börsenkurs
16
Share price
16
stochastic control
16
Control theory
15
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141
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392
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392
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392
Conference paper
9
Konferenzbeitrag
9
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2
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2
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392
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Gapeev, Pavel V.
7
Jeanblanc, Monique
7
Levendorskij, Sergej Z.
7
Benth, Fred Espen
6
Fabozzi, Frank J.
5
Liu, Rui Hua
5
Macrina, Andrea
5
Oosterlee, Cornelis W.
5
Takahashi, Akihiko
5
Gatheral, Jim
4
Hess, Markus
4
Antonelli, Fabio
3
Avellaneda, Marco
3
Biagini, Francesca
3
Bojarčenko, Svetlana I.
3
Capriotti, Luca
3
Cartea, Álvaro
3
Chiarella, Carl
3
Dahl, Lars O.
3
Forde, Martin
3
Grorud, Axel
3
Grzelak, Lech A.
3
Hughston, Lane P.
3
Jaimungal, Sebastian
3
Joshi, Mark S.
3
Kwok, Yue-Kuen
3
Leung, Tim
3
Mijatovi´c, Aleksandar
3
Račev, Svetlozar T.
3
Schmidt, Thorsten
3
Schoutens, Wim
3
Semeraro, Patrizia
3
Stoep, Anthonie W. van der
3
Stoyanov, Stoyan V.
3
Vives, Josep
3
Zubelli, Jorge P.
3
Abbas-Turki, Lokman A.
2
Abergel, Frédéric
2
Ahlip, Rehez
2
Albanese, Claudio
2
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International journal of theoretical and applied finance
Journal of econometrics
2,273
MPRA Paper
1,455
Economics letters
1,247
European journal of operational research : EJOR
920
Econometric theory
868
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
861
IZA Discussion Papers
684
Discussion paper / Tinbergen Institute
671
Econometric reviews
609
CEMMAP working papers / Centre for Microdata Methods and Practice
588
Working Paper
569
Discussion paper series / IZA
518
NBER Working Paper
494
NBER working paper series
479
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
466
Insurance / Mathematics & economics
429
Journal of the American Statistical Association : JASA
418
IZA Discussion Paper
403
Working paper
391
Tinbergen Institute Discussion Paper
385
CESifo Working Paper
376
Working paper / National Bureau of Economic Research, Inc.
366
CESifo working papers
360
Série des documents de travail / Centre de Recherche en Économie et Statistique
347
Journal of applied econometrics
345
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
337
The econometrics journal
337
Applied economics
322
cemmap working paper
315
Tinbergen Institute Discussion Papers
310
ECB Working Paper
307
Applied economics letters
301
Cowles Foundation discussion paper
296
SFB 649 discussion paper
294
Journal of economic dynamics & control
278
Discussion paper / Center for Economic Research, Tilburg University
276
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
275
Computational economics
274
Working paper / Department of Econometrics and Business Statistics, Monash University
272
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ECONIS (ZBW)
392
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1
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1
Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Campolieti, Giuseppe
;
Makarov, Roman
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 51-88
Persistent link: https://www.econbiz.de/10003415659
Saved in:
2
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Saved in:
3
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:
4
A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
Saved in:
5
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
6
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
7
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
8
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
9
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
10
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
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