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Evaluating Value-at-Risk Model...
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Option pricing theory
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International journal of theoretical and applied finance
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Quantitative finance
109
The journal of futures markets
81
Applied mathematical finance
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Journal of banking & finance
76
The journal of computational finance
66
Mathematical finance : an international journal of mathematics, statistics and financial theory
61
Review of derivatives research
51
International journal of financial engineering
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Finance research letters
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European journal of operational research : EJOR
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International review of financial analysis
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Journal of empirical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
4,161
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1
VaR/CVaR estimation under stochastic
volatility
models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
2
An option-based approach to measuring
disclosure
asymmetry
Smith, Kevin
- In:
The accounting review : a publication of the American …
98
(
2023
)
4
,
pp. 373-403
Persistent link: https://www.econbiz.de/10014340501
Saved in:
3
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:
4
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
5
VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
Saved in:
6
Risk management of variable annuities
Ruez, Frederik
-
2017
Persistent link: https://www.econbiz.de/10012659889
Saved in:
7
Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement
Bolek, Adam
-
1999
Persistent link: https://www.econbiz.de/10000682737
Saved in:
8
On the qualitative effect of
volatility
and duration on prices of Asian options
Carr, Peter
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
Finance research letters
5
(
2008
)
3
,
pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
Saved in:
9
A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano
;
Dalessandro, Antonio
;
Neugebauer, Matthias
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
4
,
pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
Saved in:
10
Essays on information, hedging,
volatility
in financial market
Xiao, Yajun
-
2009
Persistent link: https://www.econbiz.de/10003916641
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