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Option pricing theory
196
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Stochastic process
165
Stochastischer Prozess
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Volatility
143
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143
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90
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Bayer, Christian
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Sornette, Didier
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Tempone, Raúl
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Wong, Hoi Ying
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Chan, Tat Lung
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Felpel, Mike
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Jacquier, Antoine
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Kienitz, Jörg
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Madan, Dilip B.
3
McWalter, Thomas A.
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Pirjol, Dan
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Rosenbaum, Mathieu
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Wehrli, Alexander
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Zhu, Song-Ping
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Ziveyi, Jonathan
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Abergel, Frédéric
2
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
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Quantitative finance
Journal of econometrics
950
European journal of operational research : EJOR
815
Economics letters
661
International journal of theoretical and applied finance
657
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CREATES research paper
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International review of financial analysis
259
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
2
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
3
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
Madan, Dilip B.
;
Wang, King
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1391-1404
Persistent link: https://www.econbiz.de/10013367909
Saved in:
4
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
5
A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
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6
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
7
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto, Belén
;
Rubio, Gonzalo
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
Saved in:
8
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto Domenech, Belen
;
Rubio, …
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
Saved in:
9
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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10
A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan
;
Korobenko, Lyudmila
;
Sezer, A. Deniz
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
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