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~isPartOf:"Insurance / Mathematics & economics"
~subject:"Volatilität"
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Search: subject:"PRICING"
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Volatilität
Option pricing theory
139
Optionspreistheorie
139
Stochastic process
71
Stochastischer Prozess
71
Lebensversicherung
44
Life insurance
44
Portfolio selection
42
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42
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39
Volatility
27
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25
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Derivat
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27
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Godin, Frédéric
2
Li, Zhongfei
2
Liang, Zongxia
2
Pelsser, Antoon André Jean
2
Trottier, Denis-Alexandre
2
Wong, Hoi Ying
2
Zeng, Yan
2
van Haastrecht, Alexander
2
A, Chunxiang
1
Bo, Lijun
1
Brignone, Riccardo
1
Chan, Chun Man
1
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1
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1
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1
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1
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1
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1
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1
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1
Kirkby, J. Lars
1
Kufakunesu, Rodwell
1
Kyriakou, Ioannis
1
Lai, Van Son
1
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1
Lord, Roger
1
Melʹnikov, Aleksandr V.
1
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1
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1
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1
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
175
Journal of banking & finance
112
Quantitative finance
106
The journal of futures markets
84
Applied mathematical finance
83
Finance research letters
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of financial economics
71
Journal of econometrics
65
The journal of computational finance
65
Review of derivatives research
55
The North American journal of economics and finance : a journal of financial economics studies
53
International journal of financial engineering
49
Working paper / National Bureau of Economic Research, Inc.
49
Journal of economic dynamics & control
48
NBER working paper series
48
Finance and stochastics
47
International review of economics & finance : IREF
46
Research paper series / Swiss Finance Institute
46
European journal of operational research : EJOR
45
Energy economics
44
Journal of empirical finance
44
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
NBER Working Paper
39
Computational economics
38
International review of financial analysis
38
Journal of mathematical finance
37
Economic modelling
36
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Annals of finance
32
The European journal of finance
32
Applied economics
31
Review of quantitative finance and accounting
30
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
29
The review of financial studies
29
Risks : open access journal
28
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
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ECONIS (ZBW)
27
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1
Option
pricing
in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
2
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao
;
Wang, Rongming
;
Wei, Jiaqin
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 104-114
Persistent link: https://www.econbiz.de/10011990618
Saved in:
3
Multivariate claim processes with rough intensities : properties and estimation
Hainaut, Donatien
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 269-287
Persistent link: https://www.econbiz.de/10013471245
Saved in:
4
Option
pricing
under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
5
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Brignone, Riccardo
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 232-247
Persistent link: https://www.econbiz.de/10012482885
Saved in:
6
Pricing
and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonio
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
Saved in:
7
Derivatives trading for insurers
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10011990431
Saved in:
8
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
9
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Kang, Boda
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 43-56
Persistent link: https://www.econbiz.de/10011825347
Saved in:
10
Equity-linked annuity
pricing
with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
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