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~isPartOf:"Finance and stochastics"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Hedging
73
Theorie
52
Theory
52
Option pricing theory
29
Portfolio selection
23
Portfolio-Management
23
Martingal
13
Martingale
13
Stochastic process
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Stochastischer Prozess
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Transaction costs
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Transaktionskosten
13
Option trading
11
Optionsgeschäft
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Risiko
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Risk
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CAPM
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Financial economics
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Kapitalmarkttheorie
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Mathematical programming
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Mathematische Optimierung
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Derivat
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Derivative
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Pricing-hedging duality
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Risikomanagement
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Risk management
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Risk measure
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Robust hedging
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Volatility
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Volatilität
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Arbitrage
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Arbitrage Pricing
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Arbitrage pricing
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Black-Scholes model
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Black-Scholes-Modell
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Dynamic programming
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Obłój, Jan
4
Carr, Peter
3
Kabanov, Jurij M.
3
Cox, Alexander M. G.
2
Gobet, Emmanuel
2
Hobson, David G.
2
Hou, Zhaoxu
2
Lee, Roger
2
Soner, Halil Mete
2
Touzi, Nizar
2
Arai, Takuji
1
Bender, Christian
1
Benth, Fred Espen
1
Bouchard, Bruno
1
Campi, Luciano
1
Cvitanić, Jakša
1
De Vallière, D.
1
Denis, E.
1
Detering, Nils
1
Dolinsky, Yan
1
Dritschel, Michael
1
Elliott, Robert J. R.
1
Fisher, Travis
1
Frey, Rüdiger
1
Gallus, Christoph
1
Grépat, Julien
1
Guyon, Julien
1
Herrmann, Sebastian
1
Kabanov, Yuri M.
1
Klimmek, Martin
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Laachir, Ismail
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Martini, Claude
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Menegaux, Romain
1
Muhle-Karbe, Johannes
1
Neuberger, Anthony
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Nutz, Marcel
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Osakwe, Carlton-James U.
1
Pham, Huyên
1
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1
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Finance and stochastics
International journal of theoretical and applied finance
62
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Applied mathematical finance
28
The journal of futures markets
28
Quantitative finance
26
Journal of banking & finance
23
Insurance / Mathematics & economics
21
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Journal of economic dynamics & control
15
Review of derivatives research
14
Research paper series / Swiss Finance Institute
13
Risks : open access journal
12
Energy economics
10
European journal of operational research : EJOR
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risk and decision analysis
9
The journal of computational finance
9
Computational economics
8
Discussion paper / B
8
Mathematical methods of operations research
8
Swiss Finance Institute Research Paper
8
The European journal of finance
8
Finance research letters
7
International journal of financial engineering
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Journal of risk and financial management : JRFM
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
NBER working paper series
6
The North American journal of economics and finance : a journal of financial economics studies
6
Advanced mathematical methods for finance
5
Advances in futures and options research : a research annual
5
Applied economics
5
Bonn Econ Discussion Papers / BGSE
5
CoFE discussion papers
5
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
International review of economics & finance : IREF
5
Mathematical finance
5
Mathematics and financial economics
5
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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1
A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan
;
Wiesel, Johannes
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
Saved in:
2
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 167-187
Persistent link: https://www.econbiz.de/10012433525
Saved in:
3
Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel
;
Pimentel, Isaque
;
Warin, Xavier
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
Saved in:
4
Robust pricing-hedging dualities in continuous time
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
5
Hedging with small uncertainty aversion
Herrmann, Sebastian
;
Muhle-Karbe, Johannes
;
Seifried, …
- In:
Finance and stochastics
21
(
2017
)
1
,
pp. 1-64
Persistent link: https://www.econbiz.de/10011944064
Saved in:
6
Model uncertainty and the pricing of American options
Hobson, David G.
;
Neuberger, Anthony
- In:
Finance and stochastics
21
(
2017
)
1
,
pp. 285-329
Persistent link: https://www.econbiz.de/10011944370
Saved in:
7
Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano
;
Laachir, Ismail
;
Martini, Claude
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
Saved in:
8
Bounds for VIX futures given S&P 500 smiles
Guyon, Julien
;
Menegaux, Romain
;
Nutz, Marcel
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
Saved in:
9
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Cox, Alexander M. G.
;
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 669-704
Persistent link: https://www.econbiz.de/10011531314
Saved in:
10
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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