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~isPartOf:"Applied mathematical finance"
~isPartOf:"The review of financial studies"
~isPartOf:"Working papers"
~subject:"stochastic volatility"
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Search: subject_exact:"Optionspreistheorie"
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stochastic volatility
Option pricing theory
300
Optionspreistheorie
300
Theorie
95
Theory
95
Stochastic process
92
Stochastischer Prozess
92
Volatility
82
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82
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Brody, Dorje C.
1
Cheridito, Patrick
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Applied mathematical finance
The review of financial studies
Working papers
International journal of theoretical and applied finance
23
The journal of computational finance
14
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Risks : open access journal
6
International journal of financial engineering
5
Journal of risk and financial management : JRFM
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International journal of financial markets and derivatives
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Central European journal of economic modelling and econometrics
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International journal of computational economics and econometrics : IJCEE
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Journal of derivatives & hedge funds
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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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IMA journal of management mathematics
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
2
Market calibration under a long memory stochastic volatility model
Pospíšil, Jan
;
Sobotka, Tomáš
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
Saved in:
3
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A.
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Saved in:
4
Implied volatility of leveraged ETF options
Leung, Tim
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
Saved in:
5
Pricing of defaultable bonds with random information flow
Brody, Dorje C.
;
Law, Yan Tai
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 399-420
Persistent link: https://www.econbiz.de/10011490604
Saved in:
6
Optimal trade execution under stochastic volatility and liquidity
Cheridito, Patrick
;
Sepin, Tardu
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
Saved in:
7
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten
;
Ewald, Christian-Oliver
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
Saved in:
8
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Saved in:
9
On the approximation of the SABR with mean reversion model : a probabilistic approach
Kennedy, Joanne E.
;
Pham, Duy
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 451-481
Persistent link: https://www.econbiz.de/10010500879
Saved in:
10
Perpetual options on multiple underlyings
Duck, Peter W.
;
Evatt, Geoffrey W.
;
Johnson, Paul V.
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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