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Option pricing theory
199
Optionspreistheorie
199
Volatility
194
Volatilität
194
Stochastic process
167
Stochastischer Prozess
167
Theorie
97
Theory
97
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58
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58
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56
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Bayer, Christian
8
Sornette, Didier
6
Escobar, Marcos
5
Gatheral, Jim
4
Jacquier, Antoine
4
Lillo, Fabrizio
4
Radoičić, Radoš
4
Tempone, Raúl
4
Wong, Hoi Ying
4
Abergel, Frédéric
3
Bunn, Derek W.
3
Chan, Tat Lung
3
Cui, Zhenyu
3
Felpel, Mike
3
Horvath, Blanka Nora
3
Kienitz, Jörg
3
Madan, Dilip B.
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Rosenbaum, Mathieu
3
Wehrli, Alexander
3
Zhu, Song-Ping
3
Ziveyi, Jonathan
3
Aguilar, Jean-Philippe
2
Alexander, Carol
2
Alòs, Elisa
2
Bellini, Fabio
2
Ben Hammouda, Chiheb
2
Benth, Fred Espen
2
Bianchi, Michele Leonardo
2
Bormetti, Giacomo
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Chen, Jing
2
Cheng, Yuyang
2
Christensen, Troels Sønderby
2
Consigli, Giorgio
2
Dai, Tian-Shyr
2
De Marco, Stefano
2
Deelstra, Griselda
2
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Forecasting Financial Markets Conference <23.>
1
International Conference on Stochastic Programming <15., 2019, Trondheim>
1
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Quantitative finance
NBER working paper series
1,223
Working paper / National Bureau of Economic Research, Inc.
1,202
NBER Working Paper
1,009
Finance research letters
904
Journal of banking & finance
775
European journal of operational research : EJOR
768
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767
International journal of theoretical and applied finance
710
Discussion paper / Centre for Economic Policy Research
623
International review of financial analysis
606
The journal of futures markets
577
Economic modelling
566
Applied economics
548
International review of economics & finance : IREF
525
IMF working papers
501
Working paper
489
Journal of econometrics
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Journal of economic dynamics & control
477
IMF Working Papers
469
Economics letters
456
The North American journal of economics and finance : a journal of financial economics studies
447
Research in international business and finance
407
Applied economics letters
387
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Journal of international money and finance
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Finance and stochastics
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Insurance / Mathematics & economics
372
Mathematical finance : an international journal of mathematics, statistics and financial theory
371
Journal of financial economics
367
Discussion paper / Tinbergen Institute
350
Applied financial economics
347
Journal of empirical finance
344
Journal of international financial markets, institutions & money
342
CESifo working papers
337
Applied mathematical finance
321
Journal of risk and financial management : JRFM
316
The European journal of finance
313
The review of financial studies
299
IMF working paper
297
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ECONIS (ZBW)
348
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348
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1
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:
2
Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan
;
Madan, Dilip B.
;
Reyners, Sofie
; …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
Saved in:
3
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic
volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Saved in:
4
Short-time near-the-money skew in rough fractional
volatility
models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
5
Option pricing under stochastic
volatility
models with latent
volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
Saved in:
6
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:
7
On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
Saved in:
8
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:
9
Implied roughness in the term structure of oil market
volatility
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
Saved in:
10
Efficient simulation methods for the Quasi-Gaussian term-structure model with
volatility
smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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