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Theorie
Valuation
987
valuation
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415
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393
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226
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Journal of business valuation and economic loss analysis
9
Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
7
Review of quantitative finance and accounting
7
International journal of theoretical and applied finance
4
Journal of financial economics
4
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4
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4
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3
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3
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3
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3
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3
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3
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3
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Prague economic papers : a bimonthly journal of economic theory and policy
3
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2
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2
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2
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2
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2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
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Nota di Lavoro
2
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2
Queen's Economics Department Working Paper
2
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2
Rotman School of Management working paper / University of Toronto Rotman School of Management
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Springer eBook Collection
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2
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ECONIS (ZBW)
235
EconStor
15
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1
Money market derivatives and the allocation of liquidity risk in the banking sector
Hakenes, Hendrik
;
Fecht, Falko
-
2006
Money markets have two functions, the allocation of liquidity and the processing of information. We develop a model that allows us to evaluate the efficiency of different money market derivatives regarding these two objectives. We assume that due to its size, a large bank receives a more precise...
Persistent link: https://www.econbiz.de/10010295919
Saved in:
2
Nonparametric Methods in Continuous-Time Finance: A Selective Review
Cai, Zongwu
;
Hong, Yongmiao
-
2003
This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For...
Persistent link: https://www.econbiz.de/10010296451
Saved in:
3
A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd
;
Volk-Makarewicz, Warren
-
2013
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...
Persistent link: https://www.econbiz.de/10010326413
Saved in:
4
Derivatives and Default Risk
Scholz, Sebastian
-
2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose.
Options
are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy,
options
are the preferred …
Persistent link: https://www.econbiz.de/10010427577
Saved in:
5
Optionspreistheorie bei vagen Daten
Korolev, Konstantin
;
Leifert, Kai D.
;
Rommelfanger, Heinrich
-
1999
show that
options
can also be valued when uncertainty is not reduced to probabilities of payoffs. In our approach the basic …
Persistent link: https://www.econbiz.de/10010316280
Saved in:
6
Contingent reserves management: An applied framework
Caballero, Ricardo
;
Panageas, Stavros
-
2005
point with a simple quantitative hedging model, where optimally used
options
and futures on the S&P100's implied volatility …
Persistent link: https://www.econbiz.de/10010280879
Saved in:
7
Marginal versus average beta of equity under corporate taxation
Lund, Diderik
-
2009
claims are valued as call
options
, with closed-form solutions for the exercise probability. Results have practical relevance …
Persistent link: https://www.econbiz.de/10010285573
Saved in:
8
Performance maximization of actively managed funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
2010
literature suggests that even in the absence of any ability to predict returns, holding
options
positions on the benchmark assets …. The enhancement from holding
options
can be substantial if the implied volatilities of the
options
are higher than the …
Persistent link: https://www.econbiz.de/10010287049
Saved in:
9
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
-
2008
, predictable, and
options
appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10010290353
Saved in:
10
The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
-
2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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