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Stochastic process
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McAleer, Michael
93
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78
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72
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67
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56
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56
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55
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51
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49
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49
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48
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45
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44
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42
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40
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39
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37
Chan, Joshua
36
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36
Gao, Jiti
36
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36
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35
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34
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34
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34
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33
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33
Linton, Oliver
32
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32
Wong, Hoi Ying
32
Kleijnen, Jack P. C.
30
Račev, Svetlozar T.
30
Carr, Peter
29
Siu, Tak Kuen
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Wallace, Stein W.
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Härdle, Wolfgang
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National Bureau of Economic Research
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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European journal of operational research : EJOR
714
International journal of theoretical and applied finance
360
Insurance / Mathematics & economics
336
Journal of econometrics
282
Finance and stochastics
224
Operations research
200
Mathematics of operations research
197
Operations research letters
196
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195
Computers & operations research : and their applications to problems of world concern ; an international journal
194
International journal of production research
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Journal of economic dynamics & control
152
Risks : open access journal
147
Applied mathematical finance
141
Discussion paper / Tinbergen Institute
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Computational economics
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International journal of production economics
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Economics letters
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The journal of computational finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
122
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
108
Journal of mathematical finance
105
Finance research letters
102
Management science : journal of the Institute for Operations Research and the Management Sciences
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Econometric reviews
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Energy economics
92
Mathematical methods of operations research
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International journal of financial engineering
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INFORMS journal on computing : JOC
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Omega : the international journal of management science
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Annals of operations research
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Economic modelling
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Journal of banking & finance
79
Annals of finance
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Journal of economic theory
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Transportation research / E : an international journal
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Scandinavian actuarial journal
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ECONIS (ZBW)
18,658
RePEc
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Other ZBW resources
2
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1
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10
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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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