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~isPartOf:"Asia-Pacific financial markets"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
Volatility
Stochastic process
6
Stochastischer Prozess
6
Volatilität
6
Stochastic volatility
5
Option pricing theory
4
Optionspreistheorie
4
Asymptotic expansion
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Capital income
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Malliavin calculus
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Option pricing
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Currency option
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DSARV
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Delta-hedged option returns
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Devisenoption
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Forward-backward stochastic differential equations (FBSDEs)
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India
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Indien
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Local volatility model
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Markov Chain Monte Carlo
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Chung, Tsz-Kin
1
Iyer, Srikanth K.
1
Kumar, Swapnil
1
Morimoto, Takayuki
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Nagashima, Kazuki
1
Nanda, Seema
1
Nugroho, Didit B.
1
Sasaki, Hiroshi
1
Takahashi, Akihiko
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Tanaka, Keiichi
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Wang, Ying
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Asia-Pacific financial markets
International journal of theoretical and applied finance
65
Journal of econometrics
44
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39
Discussion paper / Tinbergen Institute
37
Journal of economic dynamics & control
27
CAMA working paper series
22
Working paper
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Energy economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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European journal of operational research : EJOR
18
Finance research letters
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The journal of computational finance
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16
The North American journal of economics and finance : a journal of financial economics studies
16
Insurance / Mathematics & economics
15
Journal of risk and financial management : JRFM
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Economic modelling
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Finance and stochastics
14
International journal of financial engineering
14
Risks : open access journal
14
Discussion papers / CEPR
12
Econometric reviews
12
International journal of forecasting
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Applied economics
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Review of derivatives research
11
Annals of finance
10
Documento de trabajo
10
The journal of futures markets
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International review of economics & finance : IREF
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Applied economics letters
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1
Incorporating realized quarticity into a realized
stochastic
volatility
model
Nugroho, Didit B.
;
Morimoto, Takayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
4
,
pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
Saved in:
2
VIX forecast under different volatility specifications
Wang, Ying
;
Wong, Hoi Ying
- In:
Asia-Pacific financial markets
24
(
2017
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10011797619
Saved in:
3
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
4
Understanding delta-hedged option returns in
stochastic
volatility
environments
Sasaki, Hiroshi
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
Saved in:
5
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific financial markets
21
(
2014
)
4
,
pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
Saved in:
6
An empirical comparison of two
stochastic
volatility
models using Indian market data
Iyer, Srikanth K.
;
Nanda, Seema
;
Kumar, Swapnil
- In:
Asia-Pacific financial markets
20
(
2013
)
3
,
pp. 243-259
Persistent link: https://www.econbiz.de/10010188304
Saved in:
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