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isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Stochastic process"
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Search: subject_exact:"Monte-Carlo-Methode"
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Stochastic process
Monte Carlo simulation
33
Monte-Carlo-Simulation
33
Theorie
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Theory
17
Stochastischer Prozess
16
Volatility
15
Volatilität
15
Option pricing theory
11
Optionspreistheorie
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8
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stochastic volatility
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Chiarella, Carl
5
Kang, Boda
4
Platen, Eckhard
3
Baldeaux, Jan
2
Fanelli, Viviana
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Musti, Silvana
2
Wu, Liuren
2
Barra, István
1
Borowska, Agnieszka
1
Brace, Alan
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1
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1
Ignatieva, Ekaterina
1
Kienitz, Jörg
1
Koopman, Siem Jan
1
Korolkiewicz, Malgorzata
1
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1
Martini, Filippo
1
McCausland, William J.
1
Meyer, Gunter H.
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Rado, Milo
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Tinbergen Institute
16
Quantitative finance
14
Journal of econometrics
13
Econometric reviews
12
International journal of theoretical and applied finance
12
The journal of computational finance
12
European journal of operational research : EJOR
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Journal of risk and financial management : JRFM
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Working paper / Department of Econometrics and Business Statistics, Monash University
10
Energy economics
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Finance and stochastics
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Finance research letters
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Mathematics of operations research
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Risks : open access journal
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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CEMMAP working papers / Centre for Microdata Methods and Practice
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International journal of financial engineering
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CAMA working paper series
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Discussion paper / Center for Economic Research, Tilburg University
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4
Economic modelling
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GRIPS discussion papers
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INFORMS journal on computing : JOC
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1
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
2
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Saved in:
3
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
4
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
Saved in:
5
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
6
Option valuation in multivariate SABR models
Kienitz, Jörg
;
Wittke, Manuel
-
2010
Persistent link: https://www.econbiz.de/10008662187
Saved in:
7
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
8
The HESSIAN method for models with leverage-like effects
Djegnéné, Barnabé
;
McCausland, William J.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 722-755
Persistent link: https://www.econbiz.de/10011339247
Saved in:
9
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
10
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
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