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~isPartOf:"Journal of banking & finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Stochastic process
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Lee, Hangsuck
4
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3
Li, Shaoyu
3
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Baldeaux, Jan
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Branger, Nicole
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Journal of banking & finance
The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
232
Quantitative finance
121
Journal of econometrics
118
Applied mathematical finance
100
Finance and stochastics
100
The journal of computational finance
92
Insurance / Mathematics & economics
80
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
Computational economics
66
European journal of operational research : EJOR
66
International journal of financial engineering
59
Journal of mathematical finance
57
Journal of economic dynamics & control
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Risks : open access journal
52
Econometric reviews
47
Finance research letters
47
The journal of futures markets
47
Review of derivatives research
44
Annals of finance
41
Energy economics
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
Journal of risk and financial management : JRFM
32
Economic modelling
31
Economics letters
30
Journal of empirical finance
30
Asia-Pacific financial markets
29
The European journal of finance
29
Applied economics
26
Mathematical finance : an international journal of mathematics, statistics and financial economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of financial economics
22
Mathematics and financial economics
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Econometrics : open access journal
18
Applied financial economics
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International review of financial analysis
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Operations research letters
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ECONIS (ZBW)
85
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1
Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang
;
Deng, Dongya
;
Lai, Yongzeng
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
Saved in:
2
Collateral smile
Leippold, Markus
;
Su, Lujing
- In:
Journal of banking & finance
58
(
2015
),
pp. 15-28
Persistent link: https://www.econbiz.de/10011543849
Saved in:
3
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
- In:
Journal of banking & finance
61
(
2015
),
pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
Saved in:
4
Pricing currency derivatives under the benchmark approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of banking & finance
53
(
2015
),
pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
Saved in:
5
Volatility
smiles when information is lagged in prices
Marcato, Gianluca
;
Sebehela, Tumellano
;
Campani, Carlos …
- In:
The North American journal of economics and finance : a …
46
(
2018
),
pp. 151-165
Persistent link: https://www.econbiz.de/10012036614
Saved in:
6
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic
volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
7
CVA for Cliquet options under Heston model
Feng, Yaqin
;
Wang, Min
;
Zhang, Yuanqing
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
Saved in:
8
Option valuation with observable
volatility
and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
9
Robustness of distance-to-default
Jessen, Cathrine
;
Lando, David
- In:
Journal of banking & finance
50
(
2015
),
pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
Saved in:
10
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho
- In:
Journal of banking & finance
47
(
2014
),
pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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