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Option pricing theory
254
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254
Stochastic process
106
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106
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86
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86
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72
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Forsyth, Peter A.
7
Madan, Dilip B.
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Andersen, Leif B. G.
5
Rebonato, Riccardo
5
Reisinger, Christoph
5
Coleman, Thomas F.
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Carr, Peter
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Kirkby, J. Lars
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Korn, Ralf
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Le Floc'h, Fabien
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Li, Yuying
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Oosterlee, Cornelis W.
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Zvan, R.
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AitSahlia, Farid
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Cathcart, Lara
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Glau, Kathrin
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Guerra, João
2
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The journal of computational finance
European journal of operational research : EJOR
896
NBER working paper series
695
International journal of theoretical and applied finance
678
Working paper / National Bureau of Economic Research, Inc.
639
Journal of banking & finance
584
NBER Working Paper
578
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407
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405
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403
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371
Discussion paper / Centre for Economic Policy Research
355
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Economics letters
352
The journal of futures markets
347
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326
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Applied mathematical finance
309
Quantitative finance
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Finance research letters
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Discussion paper / Tinbergen Institute
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Operations research letters
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IMF working papers
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Journal of money, credit and banking : JMCB
249
Journal of international money and finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
241
Working paper series / European Central Bank
234
International journal of production research
232
Finance and economics discussion series
229
Operations research
229
Journal of financial economics
228
Computers & operations research : and their applications to problems of world concern ; an international journal
225
Mathematics of operations research
225
Applied economics letters
223
Risks : open access journal
222
ECB Working Paper
218
International review of economics & finance : IREF
217
Computational economics
215
The North American journal of economics and finance : a journal of financial economics studies
199
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ECONIS (ZBW)
282
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1
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
2
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
Saved in:
3
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
4
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
5
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola
;
Guerra, Manuel
;
Guerra, João
; …
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
Saved in:
6
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
7
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
8
Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine
;
Tankov, Peter
;
Warin, Xavier
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
Saved in:
9
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
10
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
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