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The equity option volatility s...
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Theorie
14
Theory
14
Option pricing theory
13
Optionspreistheorie
13
Swap
9
Volatility
8
Volatilität
8
Credit risk
7
Kreditrisiko
7
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6
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6
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5
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5
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4
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3
Derivat
3
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American options
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2
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implied volatility
2
long-time asymptotics
2
short-time asymptotics
2
ADI finite difference method
1
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1
Anleihe
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1
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Free
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16
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50
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32
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English
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Andersen, Leif B. G.
46
Andersen, Leif
26
Andreasen, Jesper
12
Lake, Mark
6
Andersen, L.
5
Andreasen, Jesper Fredborg
5
Brotherton-Ratcliffe, Rupert
5
Sidenius, Jakob
5
Duffie, Darrell
4
Piterbarg, Vladimir
4
Song, Yang
4
ANDERSEN, LEIF
3
Lipton, Alexander
3
Pykhtin, Michael
3
Sokol, Alexander
3
Albanese, Claudio
2
Broadie, Mark
2
Buffum, Dan
2
Offengenden, Dimitri
2
Piterbarg, Vladimir V.
2
Savine, Antoine
2
Andersen, Lief
1
Basu, Susanta
1
DUFFIE, DARRELL
1
Dickinson, Andrew
1
Dickinson, Andrew Samuel
1
Eliezer, David
1
Eliezer, David A.
1
Hutchings, Nicolas A.
1
Iabichino, Stefano
1
Iben, Ben
1
Jørgensen, K.
1
LIPTON, ALEXANDER
1
Nielsen, P.K.
1
PITERBARG, VLADIMIR
1
Pterbarg, Victor L.
1
SIDENIUS, JAKOB
1
SONG, YANG
1
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Institut for Finansiering <Frederiksberg>
1
National Bureau of Economic Research
1
arXiv.org
1
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The journal of computational finance
7
Fleischwirtschaft : von der Erzeugung bis zur Vermarktung von Lebensmitteln tierischen Ursprungs ; Organ des Bundesverbandes der Deutschen Fleischwarenindustrie e.V., Bonn
4
Review of derivatives research
4
Risk : managing risk in the world's financial markets
4
Finance and stochastics
3
The journal of credit risk : published quarterly by Incisive Media
3
Applied mathematical finance
2
Finance and Stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of theoretical and applied finance
2
Journal of financial economics
2
Review of Derivatives Research
2
Wilmott
2
Applied Mathematical Finance
1
Applied ergonomics : the journal of people's relationships with equipment, environments and work systems
1
Credit derivatives : the definitive guide
1
Journal of Financial Economics
1
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1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
NBER Working Paper
1
NBER working paper series
1
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1
Quantitative Finance
1
The Journal of Finance
1
The definitive guide to CDOs : market, application, valuation and hedging
1
The journal of financial market infrastructures
1
The journal of fixed income
1
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ECONIS (ZBW)
50
OLC EcoSci
17
RePEc
11
Other ZBW resources
3
USB Cologne (EcoSocSci)
1
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1
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
2
The passport option
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
; …
- In:
The journal of computational finance
1
(
1998
)
3
,
pp. 15-36
Persistent link: https://www.econbiz.de/10001632699
Saved in:
3
Static replication of barrier options : some general results
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
; …
- In:
The journal of computational finance
5
(
2002
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10001695829
Saved in:
4
Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G.
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
Saved in:
5
Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G.
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
Saved in:
6
Discount curve construction with tension splines
Andersen, Leif B. G.
- In:
Review of derivatives research
10
(
2007
)
3
,
pp. 227-267
Persistent link: https://www.econbiz.de/10003748110
Saved in:
7
Moment explosions in stochastic volatility models
Andersen, Leif B. G.
;
Piterbarg, Vladimir V.
- In:
Finance and stochastics
11
(
2007
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
Saved in:
8
Factor models for CDO pricing
Andersen, Leif B. G.
;
Pterbarg, Victor L.
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 259-291)
.
2008
Persistent link: https://www.econbiz.de/10003918721
Saved in:
9
A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob
;
Piterbarg, Vladimir
;
Andersen, Leif B. G.
- In:
International journal of theoretical and applied finance
11
(
2008
)
2
,
pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
Saved in:
10
Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.
;
Lipton, Alexander
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
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