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~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
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Option pricing theory
47
Optionspreistheorie
47
Volatility
19
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16
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Alòs, Elisa
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Decisions in economics and finance : DEF ; a journal of applied mathematics
International journal of theoretical and applied finance
467
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of futures markets
253
The journal of computational finance
251
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
209
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
190
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
131
Journal of economic dynamics & control
130
International journal of financial engineering
113
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107
Finance research letters
103
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102
Risks : open access journal
93
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87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
80
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Journal of financial and quantitative analysis : JFQA
57
NBER working paper series
57
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Energy economics
56
Review of quantitative finance and accounting
55
SFB 649 discussion paper
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The journal of finance : the journal of the American Finance Association
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Journal of risk and financial management : JRFM
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The review of financial studies
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Economic modelling
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International review of economics & finance : IREF
47
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1
Robust calibration and arbitrage-free interpolation of SSVI slices
Corbetta, Jacopo
;
Cohort, Pierre
;
Laachir, Ismail
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 665-677
Persistent link: https://www.econbiz.de/10012127308
Saved in:
2
Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
3
Variable annuities with a threshold fee : valuation, numerical implementation and comparative static analysis
Bacinello, Anna Rita
;
Zoccolan, Ivan
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 21-49
Persistent link: https://www.econbiz.de/10012065156
Saved in:
4
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Vilar Zanón, José Luis
;
Peraita‑Ezcurra, Olivia
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 259-276
Persistent link: https://www.econbiz.de/10012065216
Saved in:
5
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
6
From volatility smiles to the volatility of volatility
Dumas, Bernard
;
Luciano, Elisa
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 387-406
Persistent link: https://www.econbiz.de/10012127226
Saved in:
7
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo
;
Germani, Alfredo
;
Papi, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
Saved in:
8
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
9
Moment explosions in the rough Heston model
Gerhold, Stefan
;
Gerstenecker, Christoph
;
Pinter, Arpad
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 575-608
Persistent link: https://www.econbiz.de/10012127280
Saved in:
10
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
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