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~isPartOf:"Applied mathematical finance"
~subject:"Derivat"
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Derivat
Option pricing theory
68
Optionspreistheorie
68
Stochastic process
38
Stochastischer Prozess
38
Derivative
21
Volatility
20
Volatilität
20
Option trading
17
Optionsgeschäft
17
Hedging
12
Simulation
9
Black-Scholes model
8
Black-Scholes-Modell
8
Portfolio selection
8
Portfolio-Management
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Yield curve
8
Zinsstruktur
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CAPM
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Martingal
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Martingale
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Statistical distribution
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Statistische Verteilung
7
Experiment
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Credit risk
5
Interest rate derivative
5
Kreditrisiko
5
Zinsderivat
5
Energiemarkt
4
Energy market
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Lévy processes
4
Risiko
4
Risk
4
stochastic volatility
4
Analysis
3
Greece
3
Griechenland
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Incomplete market
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English
21
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Sabino, Piergiacomo
3
Cohen, Samuel N.
2
Lyons, Terry
2
Nejad, Sina
2
Reisinger, Christoph
2
Wang, Sheng
2
Arribas, Imanol Perez
1
Benth, Fred Espen
1
Bossu, Sébastien
1
Bouzianis, George
1
Chiu, Chun-Yuan
1
Cont, Rama
1
Cufaro Petroni, Nicola
1
Eberlein, Ernst
1
Figueroa-López, José E.
1
Gardini, Matteo
1
Gong, Ruoting
1
Houdré, Christian
1
Hughston, Lane P.
1
Jain, Shashi
1
Joshi, Mark S.
1
Karlsson, Patrik
1
Kercheval, Alec
1
Kirkby, J. Lars
1
Michel, Christophe
1
Ménassé, Clément
1
Oosterlee, Cornelis Willebrordus
1
Perez Arribas, Imanol
1
Pircalabu, Anca
1
Pirjol, Dan
1
Reutenauer, Victor
1
Rudmann, Marcus
1
Talay, Denis
1
Tankov, Peter
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Tanré, Etienne
1
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1
Zeng, Pingping
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Zheng, Wendong
1
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Applied mathematical finance
International journal of theoretical and applied finance
37
Quantitative finance
27
Review of derivatives research
22
International journal of financial engineering
21
The journal of derivatives : JOD
20
European journal of operational research : EJOR
19
Journal of mathematical finance
19
The journal of computational finance
16
SpringerLink / Bücher
15
Finance research letters
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of banking & finance
13
Computational economics
12
International review of economics & finance : IREF
12
Energy economics
11
Applied economics letters
10
Finance and stochastics
10
Journal of economic dynamics & control
10
The journal of futures markets
10
Insurance / Mathematics & economics
9
Journal of econometrics
9
International review of financial analysis
7
The European journal of finance
7
Annals of finance
6
Applied economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematics and financial economics
6
Asia-Pacific financial markets
5
Mathematical finance : an international journal of mathematics, statistics and financial economics
5
Springer Texts in Business and Economics
5
The journal of asset management
5
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
4
Economics letters
4
International journal of bonds and derivatives
4
Lecture Notes in Economics and Mathematical Systems
4
Operations research letters
4
Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013
4
Theoretical economics letters
4
Annual review of financial economics
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ECONIS (ZBW)
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1
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
2
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
3
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
4
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
5
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Saved in:
6
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
7
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
8
Non-parametric pricing and hedging of exotic derivatives
Lyons, Terry
;
Nejad, Sina
;
Perez Arribas, Imanol
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 457-494
Persistent link: https://www.econbiz.de/10012516168
Saved in:
9
Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
Saved in:
10
Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Lyons, Terry
;
Nejad, Sina
;
Arribas, Imanol Perez
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 583-597
Persistent link: https://www.econbiz.de/10012210427
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