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~isPartOf:"International journal of theoretical and applied finance"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Kreditrisiko"
~subject:"Volatilität"
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ARCH model
Estimation theory
Kreditrisiko
Volatilität
Markov chain
66
Markov-Kette
66
Theorie
29
Theory
29
Option pricing theory
26
Optionspreistheorie
26
Stochastic process
20
Stochastischer Prozess
20
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Derivative
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Bielecki, Tomasz R.
2
Chan, Leunglung
2
Elliott, Robert J.
2
Siu, Tak Kuen
2
Banerjee, Tamal
1
Bellini, Fabio
1
Björk, Tomas
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Blix, Magnus
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Brockhaus, Oliver
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Cialenco, Igor
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Feng, Shibi
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Figà-Talamanca, Gianna
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Gapeev, Pavel V.
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Ghosh, Mrinal K.
1
Günther, Michael
1
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He, Xin-Jiang
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Iyer, Srikanth K.
1
Janssen, Jacques
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Jeanblanc, Monique
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Kainth, Dherminder
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Landén, Camilla
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Liu, Rui Hua
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Lo, Harry
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Nguyen, D.
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Rebonato, Riccardo
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1
Teng, Long
1
Walker, Michael B.
1
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International journal of theoretical and applied finance
Journal of econometrics
37
Energy economics
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Economic modelling
24
Journal of empirical finance
21
Computational economics
20
Finance research letters
20
Applied economics
19
International journal of forecasting
19
Journal of banking & finance
18
Economics letters
17
Journal of forecasting
17
The North American journal of economics and finance : a journal of financial economics studies
17
Discussion paper / Tinbergen Institute
16
Journal of economic dynamics & control
15
Quantitative finance
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
International review of financial analysis
14
Econometric reviews
13
Review of quantitative finance and accounting
13
Applied economics letters
12
European journal of operational research : EJOR
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of mathematical finance
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
The European journal of finance
11
International review of economics & finance : IREF
10
Applied mathematical finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Risks : open access journal
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Research in international business and finance
8
Annals of finance
7
Economics working paper
7
Insurance / Mathematics & economics
7
International journal of finance & economics : IJFE
7
Journal of risk and financial management : JRFM
7
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18
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1
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
2
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
3
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
4
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
5
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
6
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
7
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
8
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
9
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
10
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
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