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subject:"Portfolio selection"
~isPartOf:"Quantitative finance"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio selection
Derivat
63
Derivative
63
Option pricing theory
43
Optionspreistheorie
43
Stochastic process
20
Stochastischer Prozess
20
Volatility
20
Volatilität
20
Hedging
17
Option trading
15
Optionsgeschäft
15
Portfolio-Management
10
Experiment
9
Credit risk
8
Kreditrisiko
8
Monte Carlo simulation
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Monte-Carlo-Simulation
8
Theorie
8
Theory
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Yield curve
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Zinsstruktur
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Option pricing
7
Risikomanagement
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Risk management
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Derivatives
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Interest rate derivative
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Risiko
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Risikomaß
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Risk
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Zinsderivat
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Black-Scholes model
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Black-Scholes-Modell
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Derivative pricing
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Aufsatz in Zeitschrift
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10
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Sit, Tony
2
Wong, Hoi Ying
2
Anagnostou, I.
1
Chen, Junyao
1
Delage, Erick
1
Garlaschelli, D.
1
Glasserman, Paul
1
Halperin, Igor
1
Haugh, Martin B.
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Hofer, Markus
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1
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1
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1
Liu, Francis
1
Lu, Meng-Jou
1
Marzban, Saeed
1
Neuberg, Richard
1
Orłowski, Piotr
1
Packham, Natalie
1
Sourabh, Sumit
1
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1
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Quantitative finance
International journal of theoretical and applied finance
19
Journal of banking & finance
15
The journal of futures markets
15
European journal of operational research : EJOR
13
Advances in futures and options research : a research annual
9
Energy economics
9
Finance and stochastics
9
Journal of economic dynamics & control
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The European journal of finance
9
The journal of derivatives : JOD
9
Journal of financial and quantitative analysis : JFQA
8
The journal of fixed income
8
International review of financial analysis
7
Economic modelling
6
Finance research letters
6
International journal of financial engineering
6
Journal of risk and financial management : JRFM
6
The North American journal of economics and finance : a journal of financial economics studies
6
The journal of asset management
6
The journal of finance : the journal of the American Finance Association
6
Applied economics
5
Applied mathematical finance
5
Asia-Pacific financial markets
5
Journal of mathematical finance
5
Review of derivatives research
5
The journal of computational finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Annals of finance
4
Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research
4
Computational economics
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Die Bank
4
Insurance / Mathematics & economics
4
International review of economics & finance : IREF
4
Journal of financial economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
2
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
3
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
4
Hedging cryptos with Bitcoin futures
Liu, Francis
;
Packham, Natalie
;
Lu, Meng-Jou
;
Härdle, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
Saved in:
5
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
6
Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.
;
Lacedelli, Octavio Ruiz
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
Saved in:
7
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
Saved in:
8
The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805
Saved in:
9
Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
Saved in:
10
Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit
;
Hofer, Markus
;
Kandhai, Drona
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
Saved in:
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