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Volatility and variance swaps...
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Volatility
184
Volatilität
184
Theorie
105
Theory
105
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90
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90
Option pricing theory
79
Optionspreistheorie
79
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74
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58
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Bakshi, Gurdip S.
8
Christoffersen, Peter F.
6
Jacobs, Kris
6
Bollerslev, Tim
5
Aït-Sahalia, Yacine
4
Carr, Peter
4
Ornthanalai, Chayawat
4
Todorov, Viktor
4
Wu, Liuren
4
Zhang, Chu
4
Ang, Andrew
3
Chan, Kalok
3
Collin-Dufresne, Pierre
3
Della Corte, Pasquale
3
Giglio, Stefano
3
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3
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3
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3
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3
Pan, Jun
3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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Journal of financial economics
European journal of operational research : EJOR
743
Energy economics
695
Finance research letters
664
International journal of theoretical and applied finance
663
NBER working paper series
596
The journal of futures markets
568
Working paper / National Bureau of Economic Research, Inc.
563
Journal of banking & finance
553
NBER Working Paper
505
International review of financial analysis
475
Journal of econometrics
458
Applied economics
432
Economic modelling
430
International review of economics & finance : IREF
418
The North American journal of economics and finance : a journal of financial economics studies
383
Insurance / Mathematics & economics
362
Finance and stochastics
354
Mathematical finance : an international journal of mathematics, statistics and financial theory
339
Economics letters
338
Quantitative finance
331
Journal of economic dynamics & control
329
Applied economics letters
316
Working paper
314
Applied mathematical finance
306
Journal of empirical finance
302
Applied financial economics
301
Discussion paper / Centre for Economic Policy Research
296
Discussion paper / Tinbergen Institute
292
The journal of computational finance
285
The journal of derivatives : the official publication of the International Association of Financial Engineers
273
Research in international business and finance
267
Journal of international financial markets, institutions & money
264
Journal of international money and finance
259
Journal of risk and financial management : JRFM
253
The European journal of finance
238
Risks : open access journal
233
Computational economics
231
Working Paper
226
CESifo working papers
219
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ECONIS (ZBW)
259
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1
Quadratic variance
swap
models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
2
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
3
Price and
volatility
co-jumps
Bandi, F. M.
;
Renò, Roberto
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
Saved in:
4
Capital structure effects on the prices of equity call options
Geske, Robert Leonard
;
Subrahmanyam, Avanidhar
;
Zhou, Yi
- In:
Journal of financial economics
121
(
2016
)
2
,
pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
Saved in:
5
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
6
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
7
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
Chernov, Mikhail
;
Ghysels, Eric
- In:
Journal of financial economics
56
(
2000
)
3
,
pp. 407-458
Persistent link: https://www.econbiz.de/10001483311
Saved in:
8
U.S. stock market crash risk, 1926–2010
Bates, David S.
- In:
Journal of financial economics
105
(
2012
)
2
,
pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
Saved in:
9
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
10
Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat
- In:
Journal of financial economics
112
(
2014
)
1
,
pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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