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~isPartOf:"European journal of operational research : EJOR"
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
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Prognoseverfahren
Stochastic process
Volatility
74
Volatilität
74
Option pricing theory
40
Optionspreistheorie
40
Stochastischer Prozess
37
Finance
22
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2
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European journal of operational research : EJOR
International journal of theoretical and applied finance
139
Journal of econometrics
138
Energy economics
131
Finance research letters
125
International journal of forecasting
120
Journal of forecasting
115
Quantitative finance
108
Journal of banking & finance
82
Discussion paper / Tinbergen Institute
79
The North American journal of economics and finance : a journal of financial economics studies
79
International review of financial analysis
77
Journal of empirical finance
77
Economic modelling
73
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Applied economics
68
International review of economics & finance : IREF
65
Applied mathematical finance
61
Computational economics
60
The journal of futures markets
60
Working paper
59
Journal of economic dynamics & control
58
Econometric reviews
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Mathematical finance : an international journal of mathematics, statistics and financial theory
50
The journal of computational finance
50
Economics letters
49
Journal of financial econometrics : official journal of the Society for Financial Econometrics
48
Finance and stochastics
47
Applied economics letters
44
Journal of risk and financial management : JRFM
43
The European journal of finance
43
Journal of mathematical finance
42
Applied financial economics
41
Risks : open access journal
41
Journal of financial economics
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
38
CREATES research paper
37
Journal of financial econometrics
37
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
3
Bettors' reaction to match dynamics : evidence from in-game betting
Michels, Rouven
;
Ötting, Marius
;
Langrock, Roland
- In:
European journal of operational research : EJOR
310
(
2023
)
3
,
pp. 1118-1127
Persistent link: https://www.econbiz.de/10014471117
Saved in:
4
Robust consumption and portfolio choice with derivatives trading
Wei, Pengyu
;
Yang, Charles
;
Zhuang, Yi
- In:
European journal of operational research : EJOR
304
(
2023
)
2
,
pp. 832-850
Persistent link: https://www.econbiz.de/10013534570
Saved in:
5
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
6
Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
Saved in:
7
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian
;
Zou, Yihan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
Saved in:
8
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
9
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina
;
Iori, Giulia
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
Saved in:
10
Option valuation under no-arbitrage constraints with neural networks
Cao, Yi
;
Liu, Xiaoquan
;
Zhai, Jia
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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