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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Applied economics"
~subject:"Option pricing theory"
~subject:"Volatility"
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Option pricing theory
Volatility
Credit derivative
49
Kreditderivat
49
Credit risk
41
Kreditrisiko
41
Theorie
22
Theory
22
Derivat
18
Derivative
18
Swap
18
Stochastic process
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Stochastischer Prozess
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Finanzdienstleistung
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Optionspreistheorie
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Country risk
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Multivariate Verteilung
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Credit default swaps
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International sovereign debt
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Internationale Staatsschulden
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Brigo, Damiano
3
Fonseca, José da
2
Armstrong, Anthony
1
Banerjee, Tamal
1
Chege Maina, Samuel
1
Chiarella, Carl
1
Chourdakis, Kyriakos
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Cousot, Laurent
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Garcia, João
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Ghosh, Mrinal K.
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Heider, Pascal
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Hellmich, Martin
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Itkin, A.
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Iyer, Srikanth K.
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Kassberger, Stefan
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Levendorskij, Sergej Z.
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Nikitopoulos, Christina Sklibosios
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Pede, Nicola
1
Rutkowski, Marek
1
Schmidt, Wolfgang M.
1
Shcherbakov, V.
1
Veygman, A.
1
Wang, Alan T.
1
Wang, Peiming
1
Yao, Chengxue
1
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International journal of theoretical and applied finance
Applied economics
International review of financial analysis
10
Energy economics
7
The journal of futures markets
7
Finance research letters
6
Journal of banking & finance
5
Journal of mathematical finance
5
Research paper series / Swiss Finance Institute
5
The North American journal of economics and finance : a journal of financial economics studies
5
Insurance / Mathematics & economics
4
International journal of financial engineering
4
Working paper / Department of Economics, Lund University
4
Applied mathematical finance
3
Credit risk : models, derivatives, and management
3
Economic modelling
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
Journal of financial and quantitative analysis : JFQA
3
Journal of international money and finance
3
Quantitative finance
3
Research in international business and finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
Review of derivatives research
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The journal of corporate finance : contracting, governance and organization
3
The journal of fixed income
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Working paper
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Applied economics letters
2
BIS working papers
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BestMasters
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Comparative economic research : Central and Eastern Europe
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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European journal of operational research : EJOR
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Finance a úvěr
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Finance and stochastics
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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International review of economics & finance : IREF
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Journal of East Asian economic integration
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Journal of economic dynamics & control
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ECONIS (ZBW)
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1
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
2
Volatility spillovers and connectedness among credit default swap sector indexes
Fonseca, José da
;
Ignatieva, Ekaterina
- In:
Applied economics
50
(
2018
)
36
,
pp. 3923-3936
Persistent link: https://www.econbiz.de/10012060164
Saved in:
3
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
4
A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da
;
Wang, Peiming
- In:
Applied economics
48
(
2016
)
19/21
,
pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
Saved in:
5
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Saved in:
6
Risks of Latin America sovereign debts before and after the financial crisis
Wang, Alan T.
;
Yao, Chengxue
- In:
Applied economics
46
(
2014
)
13/15
,
pp. 1665-1676
Persistent link: https://www.econbiz.de/10010412883
Saved in:
7
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
8
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
9
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
10
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
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