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Option pricing theory
254
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254
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90
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79
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79
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Madan, Dilip B.
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Forsyth, Peter A.
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Reisinger, Christoph
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Andersen, Leif B. G.
4
Carr, Peter
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Rebonato, Riccardo
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Le Floc'h, Fabien
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Li, Yuying
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The journal of computational finance
The journal of futures markets
664
International journal of theoretical and applied finance
596
Journal of banking & finance
544
NBER working paper series
375
Working paper / National Bureau of Economic Research, Inc.
339
Mathematical finance : an international journal of mathematics, statistics and financial theory
310
Applied mathematical finance
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Finance and stochastics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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International review of economics & finance : IREF
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IMF Working Papers
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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Finance and economics discussion series
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Economics letters
150
Journal of international money and finance
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IMF working papers
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Economic modelling
143
Research paper series / Swiss Finance Institute
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International journal of financial engineering
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ECONIS (ZBW)
270
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1
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
2
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:
3
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
4
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
5
A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J.
- In:
The journal of computational finance
6
(
2002
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
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6
LIBOR market models in practice
Sidenius, Jakob
- In:
The journal of computational finance
3
(
2000
)
3
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
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7
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
8
Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina
;
Reisinger, Christoph
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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9
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
Saved in:
10
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
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