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~subject:"Stochastischer Prozess"
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Rough-heston local-volatility...
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Stochastischer Prozess
Volatility
42,752
Volatilität
42,506
Theorie
26,572
Theory
26,060
Stochastic process
18,719
Optionspreistheorie
15,363
Option pricing theory
14,903
Börsenkurs
10,576
Share price
10,414
Schätzung
10,352
Estimation
10,123
Markov chain
9,293
Markov-Kette
9,014
ARCH-Modell
7,466
ARCH model
7,390
Kapitaleinkommen
7,377
Capital income
7,345
Aktienmarkt
5,850
Stock market
5,784
Welt
5,782
World
5,685
USA
5,531
Zeitreihenanalyse
5,473
Portfolio-Management
5,443
Portfolio selection
5,414
United States
5,366
Time series analysis
5,356
Wechselkurs
5,183
Exchange rate
5,080
Prognoseverfahren
5,009
Forecasting model
4,938
Risk
4,904
Risiko
4,878
Optionsgeschäft
4,549
Option trading
4,529
Derivat
3,917
Derivative
3,908
Schätztheorie
3,734
Estimation theory
3,690
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8
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McAleer, Michael
96
Koopman, Siem Jan
80
Phillips, Peter C. B.
78
Sethi, Suresh
67
Chiarella, Carl
58
Ferrari, Giorgio
58
Platen, Eckhard
57
Cui, Zhenyu
51
Madan, Dilip B.
49
Post, Thierry
49
Benth, Fred Espen
48
Takahashi, Akihiko
48
Escudero, Laureano F.
45
Barndorff-Nielsen, Ole E.
44
Asai, Manabu
43
Yu, Jun
42
Fabozzi, Frank J.
39
Shephard, Neil G.
37
Stein, Jerome L.
37
Chan, Joshua
36
Elliott, Robert J.
36
Todorov, Viktor
36
Gao, Jiti
35
Linton, Oliver
35
Wong, Wing Keung
35
Zhang, Qing
35
Escobar, Marcos
34
Gendreau, Michel
34
Hainaut, Donatien
34
Gil-Alaña, Luis A.
33
Tsionas, Efthymios G.
33
Wong, Hoi Ying
32
Kleijnen, Jack P. C.
30
Račev, Svetlozar T.
30
Carr, Peter
29
Kohlmann, Michael
29
Siu, Tak Kuen
29
Blasques, Francisco
28
Bos, Charles S.
28
Riedel, Frank
28
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National Bureau of Economic Research
74
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
63
Centre for Analytical Finance <Århus>
17
Springer Fachmedien Wiesbaden
9
Econometrisch Instituut <Rotterdam>
6
Erasmus Research Institute of Management
6
Queen Mary College / Department of Economics
5
Aarhus Universitet / Afdeling for Nationaløkonomi
4
Ekonomiska forskningsinstitutet <Stockholm>
4
Institutionen för Skogsekonomi <Ume°a>
4
Judge Institute of Management Studies
4
Nuffield College
4
University of Exeter / Department of Economics
4
Australian National University / Faculty of Economics and Commerce
3
Centre for Actuarial Studies
3
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
3
European University Institute / Department of Economics
3
Springer-Verlag GmbH
3
University of Chicago / Graduate School of Business
3
University of Essex / Department of Economics
3
Walter de Gruyter GmbH & Co. KG
3
Weierstraß-Institut für Angewandte Analysis und Stochastik
3
Bonn Graduate School of Economics
2
Books on Demand GmbH <Norderstedt>
2
Center for Economic Research <Tilburg>
2
Centre for Economic Policy Research
2
Chambre de commerce et d'industrie de Paris
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
European University Institute / Department of Law
2
Federal Reserve System / Division of Research and Statistics
2
HWWA-Institut für Wirtschaftsforschung
2
International Center for Financial Asset Management and Engineering
2
Kansantaloustieteen Laitos <Helsinki>
2
Kassel University Press GmbH
2
Meeting on Stochastic Programming <1979, Oberwolfach>
2
School of Economics and Finance <Brisbane>
2
Social Systems Research Institute
2
Springer International Publishing
2
Trinity College Dublin / Department of Economics
2
Umeå Universitet / Institutionen för Nationalekonomi
2
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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
Quantitative finance
195
Computers & operations research : and their applications to problems of world concern ; an international journal
194
International journal of production research
186
Journal of economic dynamics & control
152
Risks : open access journal
147
Applied mathematical finance
141
Discussion paper / Tinbergen Institute
139
Computational economics
132
International journal of production economics
130
Economics letters
127
The journal of computational finance
124
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
100
Econometric reviews
95
Energy economics
92
Mathematical methods of operations research
92
International journal of financial engineering
90
INFORMS journal on computing : JOC
87
Omega : the international journal of management science
84
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
81
Annals of operations research
80
Economic modelling
80
Journal of banking & finance
79
Annals of finance
78
Journal of economic theory
77
Working paper
77
Computational Management Science : CMS
76
Transportation research / E : an international journal
75
Scandinavian actuarial journal
73
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ECONIS (ZBW)
18,732
EconStor
315
USB Cologne (EcoSocSci)
113
USB Cologne (business full texts)
2
OLC EcoSci
2
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1
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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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