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~isPartOf:"The journal of computational finance"
~subject:"Frankreich"
~subject:"Optionsgeschäft"
~subject:"Portfolio selection"
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Optionsgeschäft
Portfolio selection
Derivat
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Derivative
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Arnsdorf, Matthias
1
Crépey, Stéphane
1
Davis, Jesse
1
Devos, Laurens
1
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1
Escobar, Marcos
1
Graaf, Cornelis S. L. de
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The journal of computational finance
International journal of theoretical and applied finance
40
The journal of futures markets
39
Journal of banking & finance
34
Finanzmarkt und Portfolio-Management
26
SpringerLink / Bücher
26
Quantitative finance
24
European journal of operational research : EJOR
22
Applied mathematical finance
21
Finance research letters
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Review of derivatives research
21
Bank- und finanzwirtschaftliche Forschungen
19
International journal of financial engineering
18
International review of financial analysis
18
The North American journal of economics and finance : a journal of financial economics studies
18
Energy economics
17
International review of economics & finance : IREF
17
Journal of financial economics
17
Swiss journal of economics and statistics
17
The European journal of finance
17
The journal of derivatives : JOD
17
Europäische Hochschulschriften / 5
15
Journal of economic dynamics & control
15
NBER working paper series
14
Finance and stochastics
13
Gabler Edition Wissenschaft
13
NBER Working Paper
13
Working paper / National Bureau of Economic Research, Inc.
13
Journal of mathematical finance
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Risks : open access journal
12
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Research paper series / Swiss Finance Institute
11
The journal of asset management
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Applied economics
10
Economic modelling
10
Journal of financial and quantitative analysis : JFQA
10
Journal of risk and financial management : JRFM
10
The journal of finance : the journal of the American Finance Association
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1
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias
;
Halperin, Igor
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
Saved in:
2
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
3
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
4
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
5
Hedging of options in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
Saved in:
6
Variance optimal hedging with application to electricity markets
Warin, Xavier
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
Saved in:
7
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
8
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
9
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
10
The standard market risk model of the Swiss solvency test : an analytic solution
Niedermayer, Andras
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 59-71
Persistent link: https://www.econbiz.de/10012111262
Saved in:
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