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~isPartOf:"International review of financial analysis"
~isPartOf:"The journal of computational finance"
~subject:"Option pricing theory"
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Option pricing theory
Derivat
105
Derivative
105
Optionspreistheorie
46
Theorie
33
Theory
33
Volatility
29
Volatilität
29
Hedging
22
Credit risk
18
Kreditrisiko
18
Commodity derivative
17
Rohstoffderivat
17
Stochastic process
15
Stochastischer Prozess
15
Swap
14
Yield curve
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Zinsstruktur
13
Futures
12
Option trading
12
Optionsgeschäft
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Estimation
11
Interest rate derivative
11
Portfolio selection
11
Portfolio-Management
11
Schätzung
11
Zinsderivat
11
Credit derivative
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Kreditderivat
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Börsenkurs
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Commodity exchange
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Forecasting model
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Prognoseverfahren
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Xu, Yaofei
3
Yan, Cheng
3
Zagst, Rudi
3
Crépey, Stéphane
2
Escobar, Marcos
2
Kandhai, Drona
2
Reisinger, Christoph
2
Shi, Yukun
2
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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
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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
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1
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1
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International review of financial analysis
The journal of computational finance
International journal of theoretical and applied finance
101
Applied mathematical finance
61
Review of derivatives research
44
Quantitative finance
40
The journal of futures markets
34
European journal of operational research : EJOR
30
Journal of banking & finance
30
Journal of mathematical finance
30
International journal of financial engineering
23
Energy economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Journal of economic dynamics & control
21
Risks : open access journal
21
Finance and stochastics
20
The European journal of finance
20
The North American journal of economics and finance : a journal of financial economics studies
20
The journal of derivatives : JOD
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Computational economics
15
Finance research letters
15
Journal of econometrics
15
SpringerLink / Bücher
15
Insurance / Mathematics & economics
14
Applied economics letters
13
Annals of finance
12
International review of economics & finance : IREF
12
Journal of risk and financial management : JRFM
11
SFB 649 discussion paper
11
Wiley finance series
11
Applied economics
10
Mathematical finance
10
Research paper series / Swiss Finance Institute
10
Lecture notes in economics and mathematical systems : LNEMS
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Asia-Pacific financial markets
8
Economic modelling
8
Journal of financial economics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
46
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1
Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
2
Risk appetite and option prices : evidence from the Chinese SSE50 options market
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248927
Saved in:
3
Skew-Brownian motion and pricing European exchange options
Pasricha, Puneet
;
He, Xin-Jiang
- In:
International review of financial analysis
82
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013426145
Saved in:
4
Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
Saved in:
5
The information content of CDS implied volatility and associated trading strategies
Shi, Yukun
;
Chen, Ding
;
Guo, Biao
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013460868
Saved in:
6
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Saved in:
7
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
8
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
9
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
10
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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