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Option pricing theory
Volatility
42,752
Volatilität
42,506
Theorie
26,572
Theory
26,060
Stochastischer Prozess
19,165
Stochastic process
18,719
Optionspreistheorie
15,363
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10,576
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Exchange rate
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4,878
Optionsgeschäft
4,549
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4,529
Derivat
3,917
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3,908
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Madan, Dilip B.
87
Fabozzi, Frank J.
78
Cui, Zhenyu
69
Härdle, Wolfgang
67
Joshi, Mark S.
65
Takahashi, Akihiko
65
Carr, Peter
63
Chiarella, Carl
59
Schoutens, Wim
54
Stentoft, Lars
54
Jacobs, Kris
51
Elliott, Robert J.
44
Benth, Fred Espen
43
Hull, John
40
Oosterlee, Cornelis W.
38
Kim, Young Shin
37
Kwok, Yue-Kuen
36
Lee, Cheng F.
36
Siu, Tak Kuen
36
Jarrow, Robert A.
35
Fusai, Gianluca
33
Račev, Svetlozar T.
33
Schlögl, Erik
33
Zhang, Jin E.
33
Jacquier, Antoine (Jack)
32
Platen, Eckhard
32
Wang, Xingchun
32
Yang, Zhaojun
32
Barone-Adesi, Giovanni
31
Chesney, Marc
31
Christoffersen, Peter F.
31
Ewald, Christian-Oliver
31
Schwartz, Eduardo S.
31
Todorov, Viktor
29
Li, Lingfei
28
Prokopczuk, Marcel
28
Wystup, Uwe
28
Kirkby, Justin
27
Korn, Olaf
27
Schoenmakers, John
27
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
24
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
21
Ekonomiska forskningsinstitutet <Stockholm>
10
Svenska Handelshögskolan <Helsinki>
10
Center for Economic Research <Tilburg>
9
Chambre de commerce et d'industrie de Paris
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6
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
6
Weierstraß-Institut für Angewandte Analysis und Stochastik
6
Universitat Pompeu Fabra / Departament d'Economia i Empresa
5
Verlag Dr. Kovač
5
Bonn Graduate School of Economics
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Centre of Financial Studies
4
Institut for Finansiering <Frederiksberg>
4
Johannes Gutenberg-Universität Mainz
4
Springer Fachmedien Wiesbaden
4
Institute of Finance and Accounting <London>
3
International Center for Financial Asset Management and Engineering
3
Karlsruher Institut für Technologie
3
Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen
3
Associazione Operatori Bancari in Titoli
2
Banque de France / Direction des Etudes Economiques et de la Recherche
2
Birkbeck College / Department of Economics
2
Cambridge University Press
2
Centre for Economic Policy Research
2
Centre for Quantitative Economics & Computing
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Christian-Albrechts-Universität zu Kiel
2
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
Eberhard Karls Universität Tübingen
2
Econometrisch Instituut <Rotterdam>
2
Erasmus Research Institute of Management
2
Federal Reserve Bank of Cleveland
2
Federal Reserve Bank of St. Louis
2
Hochschule für Bankwirtschaft
2
Institutt for Foretaksøkonomi <Bergen, Norwegen>
2
International Centre for Trade and Sustainable Development
2
Judge Institute of Management Studies
2
Queen Mary College / Department of Economics
2
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International journal of theoretical and applied finance
481
The journal of futures markets
268
Mathematical finance : an international journal of mathematics, statistics and financial theory
256
The journal of computational finance
256
Applied mathematical finance
246
Finance and stochastics
223
Journal of banking & finance
215
The journal of derivatives : the official publication of the International Association of Financial Engineers
212
Quantitative finance
207
Review of derivatives research
175
Insurance / Mathematics & economics
158
European journal of operational research : EJOR
135
Finance research letters
130
Journal of economic dynamics & control
128
International journal of financial engineering
121
Computational economics
120
Journal of mathematical finance
112
Risks : open access journal
105
Research paper series / Swiss Finance Institute
88
The North American journal of economics and finance : a journal of financial economics studies
86
The European journal of finance
84
Journal of financial economics
83
Asia-Pacific financial markets
76
Journal of econometrics
72
International review of economics & finance : IREF
60
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
60
Journal of financial and quantitative analysis : JFQA
59
NBER working paper series
58
Energy economics
57
Journal of risk and financial management : JRFM
57
SFB 649 discussion paper
57
Review of quantitative finance and accounting
56
The journal of finance : the journal of the American Finance Association
56
Annals of finance
54
Economic modelling
52
Management science : journal of the Institute for Operations Research and the Management Sciences
52
The journal of real estate finance and economics
52
Journal of empirical finance
51
Mathematics and financial economics
51
The review of financial studies
51
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ECONIS (ZBW)
14,896
RePEc
6
EconStor
1
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1
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10
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14,903
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date (newest first)
date (oldest first)
1
Calibration of local-stochastic and path-dependent
volatility
models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
2
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
3
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
4
Asymptotics for
volatility
derivatives in multi-factor rough
volatility
models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
Saved in:
5
Short-dated smile under rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
6
Infinite-dimensional polynomial processes
Cuchiero, Christa
;
Svaluto-Ferro, Sara
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 383-426
Persistent link: https://www.econbiz.de/10012499741
Saved in:
7
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
8
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
9
Local
volatility
calibration during turbulent periods
Skindilias, Konstantinos
;
Lo, Chia Chun
- In:
Review of quantitative finance and accounting
44
(
2015
)
3
,
pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
Saved in:
10
Hedging options in a hidden Markov-switching local-
volatility
model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
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