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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of computational finance"
~subject:"Optionspreistheorie"
~subject:"Volatility"
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Optionspreistheorie
Volatility
Modellierung
34
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34
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15
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13
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Jabłecki, Juliusz
2
Agliardi, Elettra
1
Albani, Vinícius
1
Ascher, Uri M.
1
Branger, Nicole
1
Burkovska, Olena
1
Cont, Rama
1
Gatarek, Dariusz
1
Glau, Kathrin
1
Gogala, Jaka
1
Kaeck, Andreas
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Kennedy, Joanne E.
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Mahayni, Antje
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Mahlstedt, Mirco
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Rodrigues, Paulo Jorge Maurício
1
Seeger, Norman
1
Tankov, Peter
1
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Xepapadeas, Anastasios
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Journal of economic dynamics & control
The journal of computational finance
Journal of econometrics
10
CREATES research paper
9
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9
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8
Econometric Institute research papers
7
Energy economics
6
Journal of forecasting
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The journal of futures markets
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of international money and finance
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Research series / Universiteit van Amsterdam
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Tinbergen Institute research series
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Forecasting volatility in the financial markets
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1
Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy
Agliardi, Elettra
;
Xepapadeas, Anastasios
- In:
Journal of economic dynamics & control
139
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013464797
Saved in:
2
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
5
Local volatility models in commodity markets and online calibration
Albani, Vinícius
;
Ascher, Uri M.
;
Zubelli, Jorge P.
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 63-95
Persistent link: https://www.econbiz.de/10011860922
Saved in:
6
Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
90
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
Saved in:
7
Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
Saved in:
8
Robustness of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
9
Non-parametric calibration of jump-diffusion option pricing models
Cont, Rama
;
Tankov, Peter
- In:
The journal of computational finance
7
(
2004
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10002060727
Saved in:
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