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Option pricing theory
253
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Madan, Dilip B.
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The journal of computational finance
International journal of production research
570
European journal of operational research : EJOR
497
International journal of theoretical and applied finance
494
The journal of futures markets
269
Journal of econometrics
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
260
Applied mathematical finance
252
Journal of banking & finance
244
International journal of production economics
236
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233
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225
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222
Journal of economic dynamics & control
214
The journal of derivatives : the official publication of the International Association of Financial Engineers
208
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183
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174
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171
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166
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Physica A: Statistical Mechanics and its Applications
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Finance research letters
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138
Europäische Hochschulschriften / 5
134
Management science : journal of the Institute for Operations Research and the Management Sciences
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International journal of financial engineering
123
Applied economics
122
Discussion paper / Center for Economic Research, Tilburg University
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Energy economics
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
115
Journal of mathematical finance
114
Research paper series / Swiss Finance Institute
111
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110
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ECONIS (ZBW)
273
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273
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1
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
2
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
Saved in:
3
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
4
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
5
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
Saved in:
6
Robust and accurate Monte Carlo
simulation
of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
7
Convergence of Monte Carlo simulations involving the mean-reverting square root process
Higham, Desmond J.
;
Mao, Xuerong
- In:
The journal of computational finance
8
(
2004/2005
)
3
,
pp. 35-61
Persistent link: https://www.econbiz.de/10002996511
Saved in:
8
Kriging metamodels and experimental design for Bermudan option pricing
Ludkovski, Mike
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 37-77
Persistent link: https://www.econbiz.de/10011890178
Saved in:
9
Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca
;
Sun, Weifeng
;
Wang, Hui
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
Saved in:
10
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
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