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Non-affine option pricing
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Theory
Volatility
40,908
Volatilität
40,640
Theorie
16,321
Optionspreistheorie
14,810
Option pricing theory
14,351
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9,974
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3,924
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3,838
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3,351
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3,335
Portfolio selection
3,329
Option trading
3,314
Derivat
3,310
Derivative
3,303
Risk
3,174
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3,130
volatility
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Bollerslev, Tim
78
Härdle, Wolfgang
65
Diebold, Francis X.
61
McAleer, Michael
55
Koopman, Siem Jan
47
Andersen, Torben
45
Chiarella, Carl
45
Lux, Thomas
41
Elliott, Robert J.
35
Gupta, Rangan
34
Yu, Jun
34
Aizenman, Joshua
33
Bekaert, Geert
32
Herwartz, Helmut
32
Lucas, André
32
Waggoner, Daniel F.
32
Bauwens, Luc
31
Caporin, Massimiliano
31
Hafner, Christian M.
31
Pierdzioch, Christian
31
Hull, John
30
Madan, Dilip B.
28
Renault, Eric
28
Todorov, Viktor
28
Aït-Sahalia, Yacine
27
Engle, Robert F.
27
Lütkepohl, Helmut
27
Schlag, Christian
27
Timmermann, Allan
27
Ghysels, Eric
26
Asai, Manabu
25
Fernández-Villaverde, Jesús
25
Gouriéroux, Christian
25
Billio, Monica
24
Christoffersen, Peter F.
24
Guidolin, Massimo
24
Tsionas, Efthymios G.
24
Wystup, Uwe
24
Zha, Tao
24
Carr, Peter
23
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National Bureau of Economic Research
193
Centre for Analytical Finance <Århus>
24
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
22
Ekonomiska forskningsinstitutet <Stockholm>
19
Svenska Handelshögskolan <Helsinki>
11
European University Institute / Department of Economics
10
Birkbeck College / Department of Economics
7
Rodney L. White Center for Financial Research
7
Weierstraß-Institut für Angewandte Analysis und Stochastik
7
Center for Economic Research <Tilburg>
6
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
6
Instituto Valenciano de Investigaciones Económicas
6
Internationaler Währungsfonds / Research Department
6
Bonn Graduate School of Economics
5
Institute of Finance and Accounting <London>
5
The Wharton Financial Institutions Center
5
Verlag Dr. Kovač
5
Federal Reserve System / Division of Research and Statistics
4
Johannes Gutenberg-Universität Mainz
4
Springer Fachmedien Wiesbaden
4
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
4
University of British Columbia / Finance Division
4
Brown University / Department of Economics
3
Centre for Economic Policy Research
3
Centre for Growth and Business Cycle Research <Manchester>
3
Centre of Financial Studies
3
Chambre de commerce et d'industrie de Paris
3
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
3
Danmarks Nationalbank
3
Econometrisch Instituut <Rotterdam>
3
Erasmus Research Institute of Management
3
Federal Reserve Bank of San Francisco
3
Federal Reserve Bank of St. Louis
3
Goethe-Universität Frankfurt am Main
3
International Monetary Fund
3
Social Systems Research Institute
3
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
3
Springer-Verlag GmbH
3
Umeå Universitet / Institutionen för Nationalekonomi
3
Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen
3
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Mathematical finance : an international journal of mathematics, statistics and financial theory
233
Journal of econometrics
197
Working paper / National Bureau of Economic Research, Inc.
195
NBER working paper series
186
International journal of theoretical and applied finance
177
NBER Working Paper
169
European journal of operational research : EJOR
160
Finance and stochastics
156
Journal of banking & finance
153
Journal of economic dynamics & control
150
Discussion paper / Tinbergen Institute
129
Economics letters
119
Discussion paper / Centre for Economic Policy Research
104
The journal of futures markets
103
Finance research letters
102
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
102
The journal of derivatives : the official publication of the International Association of Financial Engineers
101
Economic modelling
99
Applied mathematical finance
98
International journal of forecasting
94
Journal of financial economics
94
Journal of empirical finance
93
The review of financial studies
93
Working paper
90
The journal of computational finance
79
The European journal of finance
78
Journal of international money and finance
77
Mathematical methods of operations research
75
The journal of finance : the journal of the American Finance Association
75
International review of financial analysis
74
Journal of forecasting
74
International review of economics & finance : IREF
72
Energy economics
69
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
Review of derivatives research
68
Applied economics
67
Quantitative finance
67
Computational economics
65
Econometric reviews
65
Journal of economic theory
63
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ECONIS (ZBW)
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1
Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried
-
2007
Persistent link: https://www.econbiz.de/10003635776
Saved in:
2
The role of stochastic
volatility
and return jumps : reproducing
volatility
and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon
;
Baek, In-Seok
;
Noh, Jaesun
;
Kim, Sol
- In:
Review of quantitative finance and accounting
29
(
2007
)
1
,
pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
Saved in:
3
Volatility
dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas
;
Alexander, Carol
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
Saved in:
4
Option pricing with stochastic valotility following a finite Markov Chain
Guo, Chen
- In:
International review of economics & finance : IREF
7
(
1998
)
4
,
pp. 407-415
Persistent link: https://www.econbiz.de/10001427810
Saved in:
5
A comparison of two quadratic approaches to hedging in incomplete markets
Heath, David C.
;
Platen, Eckhard
;
Schweizer, Martin
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
Saved in:
6
Stochastic
volatility
and jumps driven by continous time Markov chains
Chourdakis, Kyriakos M.
-
2000
Persistent link: https://www.econbiz.de/10001548114
Saved in:
7
Option pricing with a dividend general equilibrium model
Chourdakis, Kyriakos M.
;
Tzavalis, Elias
-
2000
Persistent link: https://www.econbiz.de/10001540194
Saved in:
8
Option pricing under discrete shifts in stock returns
Chourdakis, Kyriakos M.
;
Tzavalis, Elias
-
2000
Persistent link: https://www.econbiz.de/10001540195
Saved in:
9
A Markovian framework in multi-factor Heath-Jarrow-Morton models
Inui, Koji
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
3
,
pp. 423-440
Persistent link: https://www.econbiz.de/10001251496
Saved in:
10
Risk aversion, intertemporal substitution, and option pricing
Garcia, René
;
Renault, Eric
-
1998
Persistent link: https://www.econbiz.de/10000984192
Saved in:
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