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Volatility
Theorie
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Portfolio-Management
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40,579
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McAleer, Michael
326
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108
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100
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98
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94
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92
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89
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79
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79
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79
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75
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74
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73
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70
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69
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69
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68
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65
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64
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62
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61
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60
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60
Clements, Adam
58
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56
Kang, Sang Hoon
56
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56
Christoffersen, Peter F.
55
Mensi, Walid
54
Caballero, Ricardo J.
53
Fernández-Villaverde, Jesús
53
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53
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52
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Chambre de commerce et d'industrie de Paris
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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419
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368
The journal of futures markets
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Economic modelling
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of econometrics
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Research in international business and finance
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Applied financial economics
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Journal of empirical finance
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Applied economics letters
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Economics letters
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International journal of theoretical and applied finance
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Journal of international money and finance
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Journal of risk and financial management : JRFM
197
Quantitative finance
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Journal of financial economics
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
International Journal of Energy Economics and Policy : IJEEP
171
Pacific-Basin finance journal
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CESifo working papers
170
The European journal of finance
160
IMF working papers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
International journal of finance & economics : IJFE
151
Journal of economic dynamics & control
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International journal of forecasting
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131
The review of financial studies
126
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ECONIS (ZBW)
39,565
RePEc
1,017
EconStor
131
Other ZBW resources
92
BASE
39
ArchiDok
3
Showing
1
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1
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
2
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic
volatility
Ma, K.
;
Forsyth, Peter A.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Saved in:
3
Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing
;
Luo, Dan
;
Zeng, Xudong
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
Saved in:
4
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
5
Mind the cap!-constrained portfolio optimisation in Heston's stochastic
volatility
model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
6
Computational finance
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
7/145
,
pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and
volatility
, and on the use …
Persistent link: https://www.econbiz.de/10012309311
Saved in:
7
Calibrating option pricing models with heuristics
Gilli, Manfred
;
Schumann, Enrico
- In:
Natural computing in computational finance : volume 4
,
(pp. 9-37)
.
2011
Persistent link: https://www.econbiz.de/10009423553
Saved in:
8
A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain
Volatility
Models and CVA
Henry-Labordere, Pierre
-
2015
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...
Persistent link: https://www.econbiz.de/10013023827
Saved in:
9
Efficient simulation methods for the Quasi-Gaussian term-structure model with
volatility
smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Saved in:
10
Robust Investment-Reinsurance Optimization with Multiscale Stochastic
Volatility
Pun, Chi Seng
-
2020
This paper investigates the investment and reinsurance problem in the presence of stochastic
volatility
for an … asset following a multiscale stochastic
volatility
(SV) model. We formulate the robust optimal investment and reinsurance … tracking of
volatility
factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to …
Persistent link: https://www.econbiz.de/10012832645
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