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~isPartOf:"Discussion Paper / Tilburg University, Center for Economic Research"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Stochastic Processes and their Applications"
~subject:"partial differential equations"
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partial differential equations
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
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Optionspreistheorie
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Backward stochastic differential equations
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Riccati equations
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Dempster, Michael A. H.
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Sachs, Ekkehard
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Schneider, Marina
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Torricelli, Lorenzo
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Discussion Paper / Tilburg University, Center for Economic Research
International journal of theoretical and applied finance
Stochastic Processes and their Applications
International Journal of Theoretical and Applied Finance (IJTAF)
3
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Pricing joint claims on an asset and its realized variance in stochastic volatility models
Torricelli, Lorenzo
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009725085
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2
Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard
;
Schneider, Marina
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
Saved in:
3
Wavelet optimized valuation of financial derivatives
Wiart, B. Carton de
;
Dempster, Michael A. H.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1113-1137
Persistent link: https://www.econbiz.de/10009407662
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