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~isPartOf:"Quantitative finance"
~isPartOf:"The journal of computational finance"
~subject:"Konferenz"
~subject:"Volatilität"
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Konferenz
Volatilität
Stochastic process
273
Stochastischer Prozess
273
Option pricing theory
190
Optionspreistheorie
190
Volatility
139
Theorie
72
Theory
72
Portfolio selection
43
Portfolio-Management
43
Option trading
40
Optionsgeschäft
40
Derivat
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stochastic volatility
16
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14
Heston model
14
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14
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14
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Escobar, Marcos
5
Gatheral, Jim
4
Kienitz, Jörg
4
McWalter, Thomas A.
4
Felpel, Mike
3
Guyon, Julien
3
Le Floc'h, Fabien
3
Radoičić, Radoš
3
Rosenbaum, Mathieu
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Andersen, Leif B. G.
2
Bayer, Christian
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Ehrhardt, Matthias
2
Forde, Martin
2
Fouque, Jean-Pierre
2
Friz, Peter K.
2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Günther, Michael
2
Hainaut, Donatien
2
Horvath, Blanka Nora
2
Kim, Jeong-Hoon
2
Kirkby, J. Lars
2
Martini, Claude
2
Muguruza, Aitor
2
Pirjol, Dan
2
Reisinger, Christoph
2
Schoutens, Wim
2
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2
Sornette, Didier
2
Wehrli, Alexander
2
Wheatley, Spencer
2
Zagst, Rudi
2
Ziveyi, Jonathan
2
AbaOud, Mohammed A.
1
Abi Jaber, Eduardo
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Quantitative finance
The journal of computational finance
International journal of theoretical and applied finance
135
Journal of econometrics
104
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Discussion paper / Tinbergen Institute
56
Computational economics
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Finance and stochastics
47
Journal of economic dynamics & control
47
Econometric reviews
44
European journal of operational research : EJOR
39
Finance research letters
39
Journal of mathematical finance
38
Working paper
37
Journal of banking & finance
36
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
31
Journal of empirical finance
31
The journal of futures markets
31
Wirtschaftswissenschaft
31
Energy economics
30
Research paper series / Swiss Finance Institute
30
Risks : open access journal
30
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Review of derivatives research
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
21
Economic modelling
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NBER working paper series
21
Review of Pacific Basin financial markets and policies
19
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ECONIS (ZBW)
139
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1
A tree-based method to price American options in the Heston model
Vellekoop, Michel
;
Nieuwenhuis, J. H.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10003969727
Saved in:
2
Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.
;
He, Changhong
;
Li, Yuying
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
Saved in:
3
Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G.
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
Saved in:
4
Modeling correlated defaults : first passage model under stochastic volatility
Fouque, Jean-Pierre
;
Wignall, Brian C.
;
Zhou, Xianwen
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 43-78
Persistent link: https://www.econbiz.de/10003699972
Saved in:
5
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
Saved in:
6
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
7
Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Toda, Masashi
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Saved in:
8
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
9
Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance
Sepp, Artur
- In:
The journal of computational finance
16
(
2012/13
)
2
,
pp. 3-32
Persistent link: https://www.econbiz.de/10009702584
Saved in:
10
High-order discretization schemes for stochastic volatility models
Jourdain, Benjamin
;
Sbai, Mohamed
- In:
The journal of computational finance
17
(
2013
)
2
,
pp. 113-165
Persistent link: https://www.econbiz.de/10010239102
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