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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatilität"
~isPartOf:"Finance and stochastics"
~subject:"Mathematische Optimierung"
~subject:"Risk management"
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Volatilität
Mathematische Optimierung
Risk management
Estimation theory
57
Schätztheorie
57
Volatility
21
Option pricing theory
18
Optionspreistheorie
18
Stochastic process
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Azencott, Robert
1
Baldeaux, jan
1
Buescu, Cristin
1
Carmona, René
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Cezaro, Adriano de
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How, Desmond
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International journal of theoretical and applied finance
Finance and stochastics
Journal of econometrics
125
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
European journal of operational research : EJOR
33
Discussion paper / Tinbergen Institute
30
Economics letters
27
Econometric reviews
25
Journal of empirical finance
22
Economic modelling
20
Journal of banking & finance
20
Operations research letters
19
Mathematics of operations research
18
Quantitative finance
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
CREATES research paper
15
Finance research letters
15
International journal of forecasting
15
Econometric theory
14
Journal of financial econometrics
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
The econometrics journal
13
Operations research
12
SFB 649 discussion paper
12
The North American journal of economics and finance : a journal of financial economics studies
12
Journal of forecasting
11
Journal of risk and financial management : JRFM
11
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Computational economics
10
Econometrics : open access journal
10
Insurance / Mathematics & economics
10
Journal of risk
10
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
10
NBER Working Paper
9
Working papers
9
International journal of economics and financial issues : IJEFI
8
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Working paper / National Bureau of Economic Research, Inc.
8
Computers & operations research : and their applications to problems of world concern ; an international journal
7
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1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
2
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
3
Effective asymptotics analysis for finance
Grunspan, Cyril
;
Van der Hoeven, Joris
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012270910
Saved in:
4
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
5
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
6
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
7
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
8
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
9
Spot volatility estimation using delta sequences
Mancini, Cecilia
;
Mattiussi, Vanessa
;
Renò, Roberto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
Saved in:
10
Asymptotics of implied volatility to arbitrary order
Gao, Kun
;
Lee, Roger
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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