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~subject:"Stochastic process"
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Stochastic process
Derivat
79
Derivative
79
Option pricing theory
67
Optionspreistheorie
67
Theorie
32
Theory
32
Stochastischer Prozess
30
Volatility
30
Volatilität
30
Option trading
17
Optionsgeschäft
17
Yield curve
17
Zinsstruktur
17
Interest rate derivative
16
Zinsderivat
16
Hedging
15
Swap
10
Black-Scholes model
8
Black-Scholes-Modell
8
Credit risk
7
Kreditrisiko
7
Portfolio selection
7
Portfolio-Management
7
Simulation
7
Weather
7
Wetter
7
Commodity derivative
6
Incomplete market
6
Interest rate
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Lévy processes
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Rohstoffderivat
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Unvollkommener Markt
6
Zins
6
Energiemarkt
5
Energy market
5
Risiko
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5
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5
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30
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Sabino, Piergiacomo
3
Eberlein, Ernst
2
Ahlip, Rehez
1
Badran, Alexander
1
Baldeaux, Jan
1
Benth, Fred Espen
1
Bouzianis, George
1
Chiu, Chun-Yuan
1
Costabile, Massimo
1
Cufaro Petroni, Nicola
1
Deelstra, Griselda
1
Elliott, Robert J.
1
Escobar, Marcos
1
Figueroa-López, José E.
1
Funahashi, Hideharu
1
Gardini, Matteo
1
Gerhart, Christoph
1
Goard, Joanna
1
Gong, Ruoting
1
Goutte, Stéphane
1
Götz, Barbara
1
Hikspoors, Samuel
1
Hoencamp, J. H.
1
Hofer, Markus
1
Houdré, Christian
1
Howison, Sam
1
Hughston, Lane P.
1
Ismail, Amine
1
Jaimungal, Sebastian
1
Jain, Shashi
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Kandhai, B. D.
1
Karlsson, Patrik
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Kercheval, Alec
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1
Kort, J. P. de
1
Lamper, David
1
Lütkebohmert-Holtz, Eva
1
Mai, Jan-Frederik
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Massabo, Ivar
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Applied mathematical finance
International journal of theoretical and applied finance
70
Energy economics
22
Quantitative finance
22
The journal of computational finance
18
Finance and stochastics
17
International journal of financial engineering
17
Journal of banking & finance
17
Review of derivatives research
17
Journal of mathematical finance
16
The journal of futures markets
16
European journal of operational research : EJOR
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Journal of econometrics
14
Journal of economic dynamics & control
14
Annals of finance
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
Finance research letters
8
Risks : open access journal
8
The North American journal of economics and finance : a journal of financial economics studies
8
Insurance / Mathematics & economics
7
The European journal of finance
7
Applied economics
6
Computational economics
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
SSE EFI working paper series in economics and finance
6
Journal of financial economics
5
Journal of risk and financial management : JRFM
5
Mathematical finance
5
SFB 649 discussion paper
5
The journal of derivatives : JOD
5
Working paper
5
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
4
Asia-Pacific financial markets
4
Asia-Pacific journal of financial studies
4
Discussion paper / Tinbergen Institute
4
Econometric Institute research papers
4
Journal of empirical finance
4
Mathematics and financial economics
4
NBER working paper series
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ECONIS (ZBW)
30
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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
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:
3
Hybrid Lévy models : design and computational aspects
Eberlein, Ernst
;
Rudmann, Marcus
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
Saved in:
4
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
5
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:
6
Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe
;
Reutenauer, Victor
;
Talay, Denis
; …
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
Saved in:
7
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
8
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:
9
Stochastic models for oil prices and the pricing of
futures
on oil
Oud, Mohammed A. Aba
;
Goard, Joanna
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 189-206
Persistent link: https://www.econbiz.de/10010505133
Saved in:
10
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez
;
Rutkowski, Marek
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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