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~isPartOf:"Applied mathematical finance"
~subject:"Estimation"
~subject:"Volatility"
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Estimation
Volatility
Derivat
79
Derivative
79
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
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23
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16
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Cont, Rama
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Kandhai, B. D.
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Applied mathematical finance
The journal of futures markets
64
International journal of theoretical and applied finance
40
Journal of banking & finance
38
Energy economics
36
International review of financial analysis
25
Applied financial economics
24
International review of economics & finance : IREF
23
Finance research letters
22
Quantitative finance
22
Review of derivatives research
22
The European journal of finance
18
Applied economics letters
16
Journal of econometrics
15
Research in international business and finance
14
European journal of operational research : EJOR
13
The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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International journal of financial engineering
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Journal of financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Economic modelling
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Journal of empirical finance
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Working paper
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Journal of economic dynamics & control
9
Journal of financial markets
9
Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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International journal of bonds and derivatives
8
Review of quantitative finance and accounting
8
Risks : open access journal
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
7
Finance and stochastics
7
Mathematical finance
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
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NBER working paper series
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Pacific-Basin finance journal
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
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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
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:
7
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:
8
Consistent modelling of VIX and equity derivatives using a 3/2 plus jumps model
Baldeaux, Jan
;
Badran, Alexander
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Saved in:
9
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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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