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~isPartOf:"Applied mathematical finance"
~subject:"Estimation"
~subject:"Interest rate"
~subject:"Volatility"
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Estimation
Interest rate
Volatility
Derivat
80
Derivative
80
Option pricing theory
62
Optionspreistheorie
62
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
Theory
23
Volatilität
23
Option trading
16
Optionsgeschäft
16
Hedging
15
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10
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10
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7
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28
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Baldeaux, Jan
2
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2
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1
Avellaneda, Marco
1
Badran, Alexander
1
Benth, Fred Espen
1
Bouchaud, Jean-Philippe
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Cont, Rama
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1
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1
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1
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1
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1
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1
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1
Hoencamp, J. H.
1
Hofer, Markus
1
Houdré, Christian
1
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1
Jaimungal, Sebastian
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Applied mathematical finance
The journal of futures markets
68
International journal of theoretical and applied finance
45
Journal of banking & finance
41
Energy economics
36
International review of financial analysis
29
Applied financial economics
27
Finance research letters
27
Quantitative finance
25
International review of economics & finance : IREF
24
Review of derivatives research
23
The European journal of finance
20
Applied economics letters
17
Journal of econometrics
15
Research in international business and finance
15
The North American journal of economics and finance : a journal of financial economics studies
14
European journal of operational research : EJOR
13
International journal of financial engineering
13
Applied economics
12
Economic modelling
11
Journal of financial economics
11
The journal of computational finance
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Journal of empirical finance
10
Journal of international financial markets, institutions & money
10
Journal of risk and financial management : JRFM
10
Risks : open access journal
10
Working paper
10
Journal of economic dynamics & control
9
Journal of financial markets
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Review of quantitative finance and accounting
9
Finance and stochastics
8
International journal of bonds and derivatives
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Research paper series / Swiss Finance Institute
8
The journal of finance : the journal of the American Finance Association
8
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
7
Finance India : the quarterly journal of Indian Institute of Finance
7
Finance and economics discussion series
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ECONIS (ZBW)
28
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
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:
3
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:
4
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
5
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
6
Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
Tvedt, Jostein
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 261-277
Persistent link: https://www.econbiz.de/10011704235
Saved in:
7
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
8
Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Saved in:
9
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen
;
Di Nunno, Giulia
;
Khedher, Asma
; …
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Saved in:
10
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
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