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~isPartOf:"Quantitative finance"
~subject:"Konferenz"
~subject:"Mathematische Optimierung"
~subject:"Volatilität"
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Konferenz
Mathematische Optimierung
Volatilität
Stochastic process
167
Stochastischer Prozess
167
Option pricing theory
103
Optionspreistheorie
103
Volatility
89
Theorie
54
Theory
54
Portfolio selection
36
Portfolio-Management
36
Stochastic volatility
29
Option trading
23
Optionsgeschäft
23
Derivat
20
Derivative
20
Option pricing
17
CAPM
15
Experiment
15
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14
Markov-Kette
14
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Monte-Carlo-Simulation
14
Capital income
13
Kapitaleinkommen
13
Time series analysis
13
Zeitreihenanalyse
13
Mathematical programming
12
Rough volatility
12
Statistical distribution
12
Statistische Verteilung
12
Börsenkurs
11
Hedging
11
Neural networks
11
Neuronale Netze
11
Share price
11
Fractional Brownian motion
9
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9
Risk
9
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8
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Undetermined
90
Free
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Article
98
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1
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Aufsatz in Zeitschrift
98
Conference paper
2
Konferenzbeitrag
2
Konferenzschrift
1
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English
99
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Escobar, Marcos
4
Gatheral, Jim
4
Felpel, Mike
3
Kienitz, Jörg
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Rosenbaum, Mathieu
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Bayer, Christian
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Consigli, Giorgio
2
Forde, Martin
2
Friz, Peter K.
2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Guyon, Julien
2
Hainaut, Donatien
2
Horvath, Blanka Nora
2
Jaisson, Thibault
2
Kim, Jeong-Hoon
2
Muguruza, Aitor
2
Pirjol, Dan
2
Schoutens, Wim
2
Smith, Benjamin
2
Sornette, Didier
2
Wehrli, Alexander
2
Wheatley, Spencer
2
Ziveyi, Jonathan
2
AbaOud, Mohammed A.
1
Abi Jaber, Eduardo
1
Agarwal, Ankush
1
Alfeus, Mesias
1
Asmussen, Søren
1
Auster, Johan
1
Avanzi, B.
1
Azzone, Michele
1
Bacry, Emmanuel
1
Barletta, Andrea
1
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International Conference on Stochastic Programming <15., 2019, Trondheim>
1
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Quantitative finance
European journal of operational research : EJOR
334
International journal of theoretical and applied finance
148
Journal of econometrics
107
Computers & operations research : and their applications to problems of world concern ; an international journal
105
Operations research
86
Operations research letters
77
Mathematics of operations research
70
Applied mathematical finance
66
Computational economics
63
International journal of production research
63
Discussion paper / Tinbergen Institute
62
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
62
Mathematical finance : an international journal of mathematics, statistics and financial theory
57
Finance and stochastics
56
Journal of economic dynamics & control
55
The journal of computational finance
53
INFORMS journal on computing : JOC
52
Insurance / Mathematics & economics
50
Computational Management Science : CMS
47
Econometric reviews
44
International journal of production economics
42
International journal of financial engineering
40
Energy economics
39
Finance research letters
39
Journal of mathematical finance
38
Working paper
38
Journal of banking & finance
37
Annals of finance
36
Transportation research / E : an international journal
36
Omega : the international journal of management science
35
Risks : open access journal
35
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
33
Research paper series / Swiss Finance Institute
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
32
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
32
Economics letters
31
Journal of empirical finance
31
Management science : journal of the Institute for Operations Research and the Management Sciences
31
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ECONIS (ZBW)
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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2
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
Saved in:
3
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
4
Robust control in a rough environment
Han, Bingyan
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 481-500
Persistent link: https://www.econbiz.de/10013167772
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5
Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele
;
Baviera, Roberto
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
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6
Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer
;
Entrop, Oliver
;
Wessels, Sebastian
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
Saved in:
7
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
Saved in:
8
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
9
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance : editorial
Consigli, Giorgio
;
Kopa, Miloš
;
Pichler, Alois
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 28-30
Persistent link: https://www.econbiz.de/10012872492
Saved in:
10
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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