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~isPartOf:"International journal of theoretical and applied finance"
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Pricing derivatives on foreign...
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Option pricing theory
467
Optionspreistheorie
467
Volatility
245
Volatilität
245
Stochastic process
238
Stochastischer Prozess
238
Theorie
202
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202
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170
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95
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option pricing
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stochastic volatility
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Benth, Fred Espen
10
Levendorskij, Sergej Z.
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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
Bouchaud, Jean-Philippe
3
Boyarchenko, Mitya
3
Brody, Dorje C.
3
Buescu, Cristin
3
Capriotti, Luca
3
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International journal of theoretical and applied finance
NBER working paper series
1,099
Working paper / National Bureau of Economic Research, Inc.
1,004
The journal of futures markets
971
NBER Working Paper
925
Energy economics
808
Finance research letters
776
Journal of banking & finance
699
Journal of international money and finance
678
Applied economics
633
IMF Working Papers
587
International review of economics & finance : IREF
546
International review of financial analysis
543
Discussion paper / Centre for Economic Policy Research
530
IMF working papers
511
Economic modelling
500
Working paper
448
The North American journal of economics and finance : a journal of financial economics studies
442
Applied financial economics
427
Economics letters
425
Applied economics letters
400
Journal of econometrics
383
Journal of international financial markets, institutions & money
379
Research in international business and finance
355
Journal of empirical finance
335
Journal of financial economics
331
MPRA Paper
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IMF working paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
321
Quantitative finance
313
Applied mathematical finance
302
Journal of economic dynamics & control
299
CESifo working papers
296
The journal of derivatives : the official publication of the International Association of Financial Engineers
295
The European journal of finance
292
Discussion paper / Tinbergen Institute
280
The journal of computational finance
279
Finance and stochastics
276
Journal of risk and financial management : JRFM
273
The journal of finance : the journal of the American Finance Association
269
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ECONIS (ZBW)
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1
Derivative
pricing based on the exchange rate in a target zone with realignment
Bo, Lijun
;
Wang, Yongjin
;
Yang, Xuewei
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
Saved in:
2
Second-order stochastic
volatility
asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
Saved in:
3
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
4
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo
;
Joshi, Mark
- In:
International journal of theoretical and applied finance
5
(
2002
)
7
,
pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Saved in:
5
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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