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Option pricing theory
199
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199
Volatility
194
Volatilität
194
Stochastic process
167
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167
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100
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International Conference on Stochastic Programming <15., 2019, Trondheim>
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Quantitative finance
European journal of operational research : EJOR
919
Energy economics
762
Finance research letters
739
NBER working paper series
738
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396
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380
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Applied economics letters
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ECONIS (ZBW)
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1
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
Volatility
is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
4
A comparison principle between rough and non-rough Heston models - with applications to the
volatility
surface
Keller-Ressel, M.
;
Majid, Assad
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 919-933
Persistent link: https://www.econbiz.de/10012262636
Saved in:
5
Inversion of convex ordering in the VIX market
Guyon, Julien
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1597-1623
Persistent link: https://www.econbiz.de/10012295626
Saved in:
6
Exponentiation of conditional expectations under stochastic
volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
Saved in:
7
Lifting the Heston model
Abi Jaber, Eduardo
- In:
Quantitative finance
19
(
2019
)
12
,
pp. 1995-2013
Persistent link: https://www.econbiz.de/10012195671
Saved in:
8
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:
9
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
10
Gram-Charlier methods, regime-switching and stochastic
volatility
in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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