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Volatility
Portfolio-Management
44,274
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22,720
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14,839
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3,075
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Cui, Zhenyu
44
McAleer, Michael
29
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26
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26
Christoffersen, Peter F.
26
Escobar, Marcos
26
Härdle, Wolfgang
26
Jacobs, Kris
25
Jacquier, Antoine (Jack)
25
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23
Gatheral, Jim
22
Lorig, Matthew
22
Takahashi, Akihiko
22
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22
Nguyen, Duy
21
Alòs, Elisa
20
Guyon, Julien
19
Hammoudeh, Shawkat
19
Dumas, Bernard
18
Fengler, Matthias R.
18
Mensi, Walid
18
Wong, Hoi Ying
18
Fouque, Jean-Pierre
17
Skiadopoulos, George
17
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16
Branger, Nicole
16
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16
Engle, Robert F.
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16
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16
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15
Kang, Sang Hoon
15
Leippold, Markus
15
Todorov, Viktor
15
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14
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New Trends in Asset Management: Exploring the Implications <Veranstaltung> <2008, München>
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1
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1
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1
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International journal of theoretical and applied finance
166
Quantitative finance
120
Journal of banking & finance
110
Finance research letters
94
Applied mathematical finance
80
The journal of futures markets
80
Mathematical finance : an international journal of mathematics, statistics and financial theory
68
The journal of computational finance
66
The North American journal of economics and finance : a journal of financial economics studies
65
Journal of econometrics
57
Energy economics
55
European journal of operational research : EJOR
52
Journal of financial economics
52
Computational economics
51
International journal of financial engineering
50
International review of economics & finance : IREF
49
Review of derivatives research
49
Journal of empirical finance
48
Journal of economic dynamics & control
46
Research paper series / Swiss Finance Institute
46
Finance and stochastics
45
International review of financial analysis
45
Risks : open access journal
44
Journal of mathematical finance
41
Applied economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of risk and financial management : JRFM
36
The European journal of finance
36
Insurance / Mathematics & economics
34
Economic modelling
33
Annals of finance
32
NBER working paper series
32
Review of quantitative finance and accounting
32
Swiss Finance Institute Research Paper
31
Journal of international financial markets, institutions & money
27
Management science : journal of the Institute for Operations Research and the Management Sciences
27
The journal of asset management
27
Working paper / National Bureau of Economic Research, Inc.
27
Research in international business and finance
25
NBER Working Paper
24
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ECONIS (ZBW)
5,876
EconStor
3
RePEc
1
Showing
1
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5,880
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date (oldest first)
1
Current volatility as a measure of market risk
Kussy, Mikhail
- In:
International journal of risk assessment and management …
20
(
2017
)
4
,
pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
Saved in:
2
Option pricing with discrete time jump processes
Guégan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
- In:
Journal of economic dynamics & control
37
(
2013
)
12
,
pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
Saved in:
3
Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky
-
2002
Persistent link: https://www.econbiz.de/10009581661
Saved in:
4
Building a consistent pricing model from observed option prices
Laurent, Jean-Paul
;
Leisen, Dietmar
-
1998
Persistent link: https://www.econbiz.de/10001355935
Saved in:
5
Building a consistent pricing model from observed option prices
Laurent, Jean-Paul
;
Leisen, Dietmar
-
1999
Persistent link: https://www.econbiz.de/10001380392
Saved in:
6
Volatility analysis of Shanghai composite index and financial crises
Sheraz, Muhammad
;
Breda, Vasile
-
2016
Persistent link: https://www.econbiz.de/10013164574
Saved in:
7
A mean bound financial model and options pricing
Li, Yu
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011807105
Saved in:
8
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu
;
Rudd, Ralph
;
Baker, Christopher
;
Mashalaba, …
- In:
Risks : open access journal
9
(
2021
)
1/13
,
pp. 1-20
the model assumptions). In this context, we use relative
entropy
as a pre-metric in order to quantify these two sources of …
Persistent link: https://www.econbiz.de/10012422987
Saved in:
9
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Saved in:
10
Option pricing with maximum
entropy
densities : the inclusion of higher-order moments
Ardakani, Omid M.
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1821-1836
Persistent link: https://www.econbiz.de/10013465823
Saved in:
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