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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivat"
~subject:"Kreditrisiko"
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Derivat
Kreditrisiko
Option pricing theory
467
Optionspreistheorie
467
Stochastic process
208
Stochastischer Prozess
208
Volatility
156
Volatilität
156
Theorie
103
Theory
103
Derivative
101
Option trading
83
Optionsgeschäft
83
Hedging
62
Black-Scholes model
47
Black-Scholes-Modell
47
Yield curve
40
Zinsstruktur
40
Portfolio selection
33
Portfolio-Management
33
CAPM
30
Credit risk
29
Monte Carlo simulation
28
Monte-Carlo-Simulation
28
Markov chain
27
option pricing
27
Markov-Kette
26
Statistical distribution
24
Statistische Verteilung
24
Martingal
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Martingale
23
Swap
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stochastic volatility
23
Incomplete market
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Unvollkommener Markt
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Experiment
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Interest rate derivative
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Risk
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Brigo, Damiano
4
Hess, Markus
3
Bernard, Carole
2
Capriotti, Luca
2
Chiarella, Carl
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Feng, Qian
2
Hok, Julien
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Jeanblanc, Monique
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Joshi, Mark S.
2
Melʹnikov, Aleksandr V.
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Meyer-Brandis, Thilo
2
Mijatovi´c, Aleksandar
2
Pallavicini, Andrea
2
Rosa-Clot, Marco
2
Schmidt, Thorsten
2
Taddei, Stefano
2
Takahashi, Akihiko
2
Torricelli, Lorenzo
2
Alfonsi, Aurélien
1
Alòs, Elisa
1
Anderluh, J. H. M.
1
Antonelli, Fabio
1
Armstrong, John
1
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1
Avellaneda, Marco
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Biagini, Francesca
1
Bo, Lijun
1
Bojarčenko, Svetlana I.
1
Borovkova, Svetlana
1
Bouthemy, Sandrine
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International journal of theoretical and applied finance
Applied mathematical finance
68
Review of derivatives research
51
Quantitative finance
44
Journal of banking & finance
39
The journal of futures markets
38
The journal of computational finance
34
European journal of operational research : EJOR
32
Journal of mathematical finance
31
International journal of financial engineering
28
Mathematical finance : an international journal of mathematics, statistics and financial theory
28
Journal of economic dynamics & control
25
Finance and stochastics
23
The European journal of finance
23
Energy economics
22
Risks : open access journal
21
The North American journal of economics and finance : a journal of financial economics studies
21
International review of financial analysis
20
The journal of derivatives : JOD
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
20
Insurance / Mathematics & economics
19
Finance research letters
18
SpringerLink / Bücher
16
Computational economics
15
Journal of econometrics
15
Annals of finance
14
Applied economics letters
14
Asia-Pacific financial markets
13
International review of economics & finance : IREF
13
Journal of risk and financial management : JRFM
13
SFB 649 discussion paper
12
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Research paper series / Swiss Finance Institute
11
Economic modelling
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Mathematical finance
10
Wiley finance series
10
Applied economics
9
Mathematics and financial economics
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
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ECONIS (ZBW)
119
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1
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
2
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin
;
Karpathopoulos, Nikolaos
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
Saved in:
3
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
4
The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky
;
Sun, Jia
;
Whalley, A. Elizabeth
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
Saved in:
5
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
6
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
7
Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
Saved in:
8
Robust bounds for derivative prices in markovian models
Sester, Julian
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
Saved in:
9
Bounds on multi-asset derivatives via neural networks
De Gennaro Aquino, Luca
;
Bernard, Carole
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012496914
Saved in:
10
Conic CVA and DVA for option portfolios
Bakel, Sjoerd van
;
Borovkova, Svetlana
;
Michielon, Matteo
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012496518
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