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CAPM
Volatility
40,422
Volatilität
40,244
Theorie
20,630
Theory
20,129
Stochastischer Prozess
17,070
Stochastic process
16,628
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14,726
Option pricing theory
14,268
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4,166
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4,099
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4,091
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4,068
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3,978
Risk
3,585
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3,558
Derivat
3,342
Derivative
3,334
Optionsgeschäft
3,320
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3,299
volatility
2,617
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2,533
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23
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16
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16
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16
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15
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14
Barro, Robert J.
14
Lee, Cheng F.
14
Jacobs, Kris
13
Aït-Sahalia, Yacine
12
Christoffersen, Peter F.
12
Engstrom, Eric
11
Guo, Hui
11
Ait-Sahalia, Yacine
10
Elliott, Robert J.
10
Guidolin, Massimo
10
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9
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9
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9
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9
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9
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9
Kiku, Dana
9
Lo, Andrew W.
9
Macrina, Andrea
9
Rodríguez, Rosa
9
Zaremba, Adam
9
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8
Bali, Turan G.
8
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8
Branger, Nicole
8
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8
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8
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8
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8
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Course on Stochastic Processes: Applications in Mathematical Economics <15, 1992, Erice>
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Economic Policy Conference <31, 2006, Saint Louis, Mo.>
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
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Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
1
Svenska Handelshögskolan <Helsinki>
1
University of British Columbia / Finance Division
1
Universität Mannheim
1
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Journal of financial economics
57
Journal of banking & finance
43
NBER working paper series
43
International journal of theoretical and applied finance
40
Finance research letters
36
Working paper / National Bureau of Economic Research, Inc.
36
Journal of economic dynamics & control
35
NBER Working Paper
34
Journal of empirical finance
30
Journal of econometrics
27
Mathematical finance : an international journal of mathematics, statistics and financial theory
26
The journal of finance : the journal of the American Finance Association
26
The review of financial studies
26
Finance and stochastics
25
Management science : journal of the Institute for Operations Research and the Management Sciences
24
Quantitative finance
23
Research paper series / Swiss Finance Institute
23
International review of economics & finance : IREF
22
Annals of finance
21
International review of financial analysis
21
The European journal of finance
20
Journal of mathematical finance
19
Economic modelling
17
Swiss Finance Institute Research Paper
17
The North American journal of economics and finance : a journal of financial economics studies
17
Applied mathematical finance
16
European journal of operational research : EJOR
15
Working paper
14
Asia-Pacific financial markets
13
Economics letters
13
Journal of risk and financial management : JRFM
13
Review of derivatives research
13
Applied economics
12
International journal of financial engineering
12
Pacific-Basin finance journal
12
Quantitative economics : QE ; journal of the Econometric Society
12
Research in international business and finance
12
Finance and economics discussion series
11
Journal of financial markets
11
Review of quantitative finance and accounting
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ECONIS (ZBW)
2,665
EconStor
10
RePEc
9
OLC EcoSci
4
Showing
1
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10
of
2,688
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date (newest first)
date (oldest first)
1
Option smiling when investors' estimates of asset
volatility
disagree
Lin, Chien-chih
- In:
Applied economics
46
(
2014
)
31/33
,
pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
Saved in:
2
Computational finance
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
7/145
,
pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and
volatility
, and on the use …
Persistent link: https://www.econbiz.de/10012309311
Saved in:
3
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.
;
Offen, Elias R.
;
Kunda, Douglas
; …
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
Saved in:
4
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
5
Option valuation with observable
volatility
and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
-
2015
diffusive
volatility
and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits
volatility
and jump intensity dynamics. The
volatility
and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive
volatility
and jump variation. Because the empirical …
Persistent link: https://www.econbiz.de/10011377837
Saved in:
6
Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca
;
Föllmer, Hans
;
Nedelcu, Sorin
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
Saved in:
7
Solving asset pricing models with stochastic
volatility
De Groot, Oliver
- In:
Journal of economic dynamics & control
52
(
2015
),
pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
Saved in:
8
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://www.econbiz.de/10012022240
Saved in:
9
The role of jumps and options in the risk premia of interest rates
Lund, Bruno
- In:
Brazilian review of econometrics : BRE ; the review of …
38
(
2018
)
2
,
pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
Saved in:
10
Wavelet-based option pricing : an empirical study
Liu, Xiaoquan
;
Cao, Yi
;
Ma, Chenghu
;
Shen, Liya
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
Saved in:
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