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Volatility
Mathematische Optimierung
24,485
Mathematical programming
24,448
Theorie
22,669
Theory
22,387
Optionspreistheorie
14,758
Option pricing theory
14,300
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2,902
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2,883
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1,725
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1,581
Ganzzahlige Optimierung
1,542
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1,541
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1,518
Markov chain
1,451
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1,441
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1,382
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1,359
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Cui, Zhenyu
44
Carr, Peter
26
Chiarella, Carl
26
Jacquier, Antoine (Jack)
25
Jacobs, Kris
24
McAleer, Michael
23
Gatheral, Jim
22
Härdle, Wolfgang
21
Nguyen, Duy
21
Lorig, Matthew
20
Takahashi, Akihiko
20
Zhang, Jin E.
20
Alòs, Elisa
19
Guyon, Julien
19
Christoffersen, Peter F.
18
Fengler, Matthias R.
18
Benth, Fred Espen
17
Koopman, Siem Jan
17
Martin, Gael M.
17
Asai, Manabu
16
Fouque, Jean-Pierre
16
Wang, Xingchun
16
Escobar, Marcos
15
Grasselli, Martino
15
Kang, Boda
15
Elliott, Robert J.
14
Forbes, Catherine Scipione
14
Forde, Martin
14
Jacquier, Antoine
14
Le Floc'h, Fabien
14
Oosterlee, Cornelis W.
14
Schoutens, Wim
14
Skiadopoulos, George
14
Wong, Hoi Ying
14
Wu, Liuren
14
Ewald, Christian-Oliver
13
Grzelak, Lech A.
13
Madan, Dilip B.
13
Todorov, Viktor
13
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13
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Centre for Analytical Finance <Århus>
7
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3
Svenska Handelshögskolan <Helsinki>
3
Centre of Financial Studies
2
Society for Computational Economics - SCE
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Banque de France / Direction des Etudes Economiques et de la Recherche
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C.E.P.R. Discussion Papers
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Danmarks Nationalbank
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Econometrisch Instituut <Rotterdam>
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Federal Reserve Bank of Cleveland
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Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
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International Center for Financial Asset Management and Engineering
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Karlsruher Institut für Technologie
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1
Westfälische Wilhelms-Universität Münster
1
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1
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1
World Scientific Publishing Co. Pte. Ltd.
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International journal of theoretical and applied finance
159
Quantitative finance
108
The journal of futures markets
80
Journal of banking & finance
78
Applied mathematical finance
74
The journal of computational finance
68
Mathematical finance : an international journal of mathematics, statistics and financial theory
62
Journal of econometrics
55
Review of derivatives research
50
Finance research letters
49
Computational economics
47
International journal of financial engineering
47
European journal of operational research : EJOR
42
Finance and stochastics
42
The North American journal of economics and finance : a journal of financial economics studies
41
Journal of mathematical finance
38
Journal of economic dynamics & control
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Risks : open access journal
32
Discussion paper / Tinbergen Institute
30
Research paper series / Swiss Finance Institute
30
Review of quantitative finance and accounting
27
Annals of finance
26
Insurance / Mathematics & economics
26
Journal of financial economics
26
Journal of empirical finance
25
Applied economics
24
Journal of risk and financial management : JRFM
24
The European journal of finance
24
Economic modelling
23
International review of economics & finance : IREF
23
Energy economics
22
Management science : journal of the Institute for Operations Research and the Management Sciences
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Asia-Pacific financial markets
19
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Econometric reviews
18
International review of financial analysis
17
Swiss Finance Institute Research Paper
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ECONIS (ZBW)
4,184
RePEc
11
BASE
1
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1
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
2
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
3
A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing
Mi, Yanhui
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011577132
Saved in:
4
Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor
;
Fáth, Gábor
;
Csabai, István
; …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
Saved in:
5
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:
6
A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
Saved in:
7
Estimating correlated jumps and stochastic volatilities
Witzany, Jiří
- In:
Prague economic papers : a bimonthly journal of …
22
(
2013
)
2
,
pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
Saved in:
8
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
9
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
10
Calibrating local volatility models with stochastic drift and diffusion
Ögetbil, Orcan
;
Ganesan, Narayan
;
Hientzsch, Bernhard
- In:
International journal of theoretical and applied …
25
(
2022
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10013189965
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