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Hedging under the Heston model...
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Kapitaleinkommen
Volatility
40,952
Volatilität
40,681
Theorie
23,843
Theory
23,294
Stochastischer Prozess
17,225
Stochastic process
16,784
Optionspreistheorie
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Option pricing theory
14,355
Hedging
10,228
Börsenkurs
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10,025
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10,013
Estimation
9,784
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7,879
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6,755
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6,212
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6,145
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5,985
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5,955
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5,913
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5,806
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5,604
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5,505
Wechselkurs
4,927
Derivat
4,898
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Exchange rate
4,825
Prognoseverfahren
4,377
Risk
4,330
Forecasting model
4,312
Risiko
4,295
Zeitreihenanalyse
4,173
Time series analysis
4,059
Optionsgeschäft
3,549
Option trading
3,520
CAPM
2,947
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2,684
volatility
2,648
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Gupta, Rangan
105
Bollerslev, Tim
70
McAleer, Michael
56
Caporale, Guglielmo Maria
51
Diebold, Francis X.
48
Bouri, Elie
43
Bekaert, Geert
42
Andersen, Torben
33
Bali, Turan G.
31
Pierdzioch, Christian
29
Ma, Feng
28
Lux, Thomas
27
McMillan, David G.
26
Spagnolo, Nicola
26
Todorov, Viktor
26
Chang, Chia-Lin
24
Chiang, Thomas C.
23
Engle, Robert F.
23
Yılmaz, Kamil
23
Wang, Yudong
22
Gil-Alaña, Luis A.
21
Asai, Manabu
20
Caporin, Massimiliano
20
Christoffersen, Peter F.
20
Kumar, Dilip
20
Ang, Andrew
19
Tiwari, Aviral Kumar
19
Wohar, Mark E.
19
Campbell, John Y.
18
Demirer, Rıza
18
Prokopczuk, Marcel
18
Zaremba, Adam
18
Andersen, Torben G.
17
Harvey, Campbell R.
17
Koopman, Siem Jan
17
Kočenda, Evžen
17
Meddahi, Nour
17
Tauchen, George Eugene
17
Aït-Sahalia, Yacine
16
Balcilar, Mehmet
16
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University of Canterbury / Dept. of Economics and Finance
4
Chambre de commerce et d'industrie de Paris
3
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
3
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
3
Gottfried Wilhelm Leibniz Universität Hannover
3
Rodney L. White Center for Financial Research
3
The Wharton Financial Institutions Center
3
Erasmus Research Institute of Management
2
Federal Reserve Bank of St. Louis
2
Institute of Finance and Accounting <London>
2
Judge Institute of Management Studies
2
Svenska Handelshögskolan <Helsinki>
2
William Davidson Institute <Ann Arbor, Mich.>
2
American Finance Association
1
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Banco Central do Brasil
1
Center for Economic Research <Tilburg>
1
Centro de Estudios Macroeconómicos de Argentina / Universidad
1
Conference on Exchange Rates Effects on Corporations <1992, New York, NY>
1
Conference on Realized Volatility <2006, Montréal>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Federal Reserve Bank of Cleveland
1
Federal Reserve Bank of San Francisco
1
Federal Reserve System / Division of Research and Statistics
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Goethe-Universität Frankfurt am Main / Fachbereich Wirtschaftswissenschaften
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Harvard Institute of Economic Research
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Internationaler Währungsfonds / Western Hemisphere Department
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Johns Hopkins University / Department of Economics
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Karlsruher Institut für Technologie
1
Nationalekonomiska Institutionen <Lund>
1
Rutgers University / Department of Economics
1
Salomon Center
1
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
University of Otago / Commerce Division
1
Universität Duisburg <1980-2002>
1
Universität Mannheim
1
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Finance research letters
177
International review of financial analysis
135
Journal of banking & finance
128
International review of economics & finance : IREF
116
Journal of empirical finance
112
Journal of financial economics
101
Energy economics
99
The North American journal of economics and finance : a journal of financial economics studies
98
Research in international business and finance
89
Applied economics
87
Applied financial economics
81
NBER working paper series
79
Journal of international financial markets, institutions & money
78
Economic modelling
76
Journal of econometrics
71
Working paper / National Bureau of Economic Research, Inc.
71
Applied economics letters
65
Journal of risk and financial management : JRFM
64
Pacific-Basin finance journal
64
NBER Working Paper
63
The European journal of finance
59
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
56
International journal of forecasting
52
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
47
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
45
Journal of forecasting
44
Economics letters
42
Working paper
42
Research paper series / Swiss Finance Institute
41
The journal of futures markets
41
Management science : journal of the Institute for Operations Research and the Management Sciences
39
International journal of finance & economics : IJFE
37
Journal of financial markets
37
The journal of finance : the journal of the American Finance Association
37
Investment management and financial innovations
36
The review of financial studies
36
Journal of international money and finance
35
Review of quantitative finance and accounting
35
Global finance journal
34
Journal of financial and quantitative analysis : JFQA
34
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ECONIS (ZBW)
7,879
EconStor
29
OLC EcoSci
1
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1
Risk management of variable annuities
Ruez, Frederik
-
2017
Persistent link: https://www.econbiz.de/10012659889
Saved in:
2
Mean-variance
hedging
and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
3
Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2008
Persistent link: https://www.econbiz.de/10003861266
Saved in:
4
Levy processes : theory and financial applications
Raccuglia, Benedetto
-
2006
Persistent link: https://www.econbiz.de/10003413591
Saved in:
5
The Heston stochastic
volatility
model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo
;
Ferri, Roberto
;
Pacelli, Graziella
- In:
The international journal of business and finance …
1
(
2007
)
2
,
pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
Saved in:
6
Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex
Rathgeber, Andreas
- In:
Kredit und Kapital
40
(
2007
)
3
,
pp. 451-484
Persistent link: https://www.econbiz.de/10003564452
Saved in:
7
Modeling financial security returns using Lévy processes
Wu, Liuren
- In:
Financial engineering
,
(pp. 117-162)
.
2008
Persistent link: https://www.econbiz.de/10003567103
Saved in:
8
Stochastic
volatility
jump-diffusions for equity index dynamics
Kaeck, Andreas
;
Alexander, Carol
-
2010
Persistent link: https://www.econbiz.de/10009375864
Saved in:
9
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
10
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.
;
Ramezani, Cyrus A.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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