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~subject:"Stochastischer Prozess"
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Deep local volatility
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Stochastischer Prozess
Experiment
44,046
Volatility
40,965
Volatilität
40,697
Theorie
26,530
Theory
26,048
Optionspreistheorie
14,815
Option pricing theory
14,356
Börsenkurs
10,271
Share price
10,124
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9,636
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9,435
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7,505
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7,478
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6,935
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6,763
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6,624
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6,550
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6,421
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6,273
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6,196
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6,127
Prognoseverfahren
6,102
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6,037
Stochastic process
5,499
Welt
5,266
World
5,165
Wechselkurs
4,855
Exchange rate
4,754
Neural networks
4,663
Neuronale Netze
4,399
Risk
4,115
Risiko
3,972
Zeitreihenanalyse
3,734
Portfolio-Management
3,730
Portfolio selection
3,702
Time series analysis
3,636
experiment
3,571
Konsumentenverhalten
3,543
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3,537
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5,533
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64
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2
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McAleer, Michael
69
Asai, Manabu
40
Chiarella, Carl
38
Koopman, Siem Jan
38
Cui, Zhenyu
36
Chan, Joshua
34
Todorov, Viktor
34
Takahashi, Akihiko
29
Escobar, Marcos
28
Madan, Dilip B.
27
Clark, Todd E.
26
Barndorff-Nielsen, Ole E.
25
Fabozzi, Frank J.
25
Mumtaz, Haroon
25
Shephard, Neil G.
25
Carr, Peter
24
Tauchen, George Eugene
23
Kohlmann, Michael
22
Nguyen, Duy
22
Alòs, Elisa
21
Bos, Charles S.
21
Fouque, Jean-Pierre
21
Hainaut, Donatien
21
Platen, Eckhard
21
Yu, Jun
21
Andersen, Torben
20
Carriero, Andrea
20
Elliott, Robert J.
20
Wong, Hoi Ying
20
Benth, Fred Espen
19
Marcellino, Massimiliano
19
Oosterlee, Cornelis W.
19
Grasselli, Martino
18
Branger, Nicole
17
Hafner, Christian M.
17
Martin, Gael M.
17
Renault, Eric
17
Renò, Roberto
17
Rodriguez, Gabriel
17
Wang, Xingchun
17
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National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
13
Centre for Analytical Finance <Århus>
6
Chambre de commerce et d'industrie de Paris
3
Nuffield College
3
Queen Mary College / Department of Economics
3
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
International Center for Financial Asset Management and Engineering
2
University of Canterbury / Dept. of Economics and Finance
2
University of Exeter / Department of Economics
2
Weierstraß-Institut für Angewandte Analysis und Stochastik
2
Australian National University / Faculty of Economics and Commerce
1
Bachelier Finance Society
1
Banca d'Italia / Servizio Studi
1
Centre for Economic Policy Research
1
Centre of Financial Studies
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Eberhard Karls Universität Tübingen
1
Econometrisch Instituut <Rotterdam>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Erasmus Research Institute of Management
1
Federal Reserve Bank of Cleveland
1
Rodney L. White Center for Financial Research
1
Society of Actuaries
1
Springer International Publishing
1
Swiss Finance Institute
1
Symposium on Operations Research <24, 1999, Magdeburg>
1
Taylor and Francis.
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
University of British Columbia / Finance Division
1
University of Chicago / Graduate School of Business
1
University of Queensland / School of Economics
1
Universität Trier
1
Universität Ulm
1
Université de Montréal / Département de sciences économiques
1
Zentrum für Europäische Wirtschaftsforschung
1
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International journal of theoretical and applied finance
235
Quantitative finance
128
Journal of econometrics
113
Finance and stochastics
105
Applied mathematical finance
103
The journal of computational finance
93
Insurance / Mathematics & economics
83
European journal of operational research : EJOR
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
76
Computational economics
65
Discussion paper / Tinbergen Institute
60
International journal of financial engineering
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Journal of economic dynamics & control
59
Journal of mathematical finance
59
Risks : open access journal
56
Finance research letters
52
Journal of banking & finance
48
Econometric reviews
46
The journal of futures markets
46
Review of derivatives research
43
Annals of finance
41
Energy economics
40
Working paper
40
Research paper series / Swiss Finance Institute
39
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
Journal of risk and financial management : JRFM
34
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
33
Asia-Pacific financial markets
31
Economics letters
30
Journal of empirical finance
30
Economic modelling
29
The European journal of finance
29
Applied economics
25
CREATES research paper
25
Mathematical finance : an international journal of mathematics, statistics and financial economics
25
CAMA working paper series
24
SFB 649 discussion paper
24
Journal of financial economics
23
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ECONIS (ZBW)
5,505
EconStor
86
USB Cologne (EcoSocSci)
7
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1
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:
2
Probabilistic machine learning for local
volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
3
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
Saved in:
4
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Saved in:
5
Perpetual options on multiple underlyings
Duck, Peter W.
;
Evatt, Geoffrey W.
;
Johnson, Paul V.
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
Saved in:
6
Robust option pricing
Bandi, Chaithanya
;
Bertsimas, Dimitris
- In:
European journal of operational research : EJOR
239
(
2014
)
3
,
pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
Saved in:
7
European option pricing model based on uncertain fractional differential equation
Lu, Ziqiang
;
Yan, Hongyan
;
Zhu, Yuanguo
- In:
Fuzzy optimization and decision making : a journal of …
18
(
2019
)
2
,
pp. 199-217
Persistent link: https://www.econbiz.de/10012228556
Saved in:
8
A general framework for pricing Asian options under stochastic
volatility
on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
9
Historical calibration of SVJD models with deep learning
Fičura, Milan
;
Witzany, Jiří
-
2023
We propose how deep neural networks can be used to calibrate the parameters of Stochastic-
Volatility
Jump …
Persistent link: https://www.econbiz.de/10014444774
Saved in:
10
An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu
;
Kijima, Masaaki
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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