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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Monte-Carlo-Simulation"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
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Monte-Carlo-Simulation
Prognoseverfahren
Volatilität
Option pricing theory
270
Optionspreistheorie
270
Volatility
138
CAPM
133
Stochastic process
130
Stochastischer Prozess
130
Theorie
85
Theory
85
Option trading
68
Optionsgeschäft
68
Derivat
66
Derivative
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Portfolio selection
66
Portfolio-Management
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Capital income
62
Kapitaleinkommen
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Börsenkurs
48
Share price
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Estimation
43
Schätzung
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Hedging
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Black-Scholes model
33
Black-Scholes-Modell
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Option pricing
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Monte Carlo simulation
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Risiko
30
Risk
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Stochastic volatility
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Zinsstruktur
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Forecasting model
24
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19
Markov chain
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Markov-Kette
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Bayer, Christian
6
Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Kim, Jeong-Hoon
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Tempone, Raúl
3
Wong, Hoi Ying
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Ben Hammouda, Chiheb
2
Bunn, Derek W.
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Coakley, Jerry
2
De Marco, Stefano
2
Dunis, Christian
2
Friz, Peter K.
2
Funahashi, Hideharu
2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
He, Xin-Jiang
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Liu, Xiaoquan
2
Martini, Claude
2
Muguruza, Aitor
2
Pirjol, Dan
2
Rosenbaum, Mathieu
2
Schoutens, Wim
2
Sit, Tony
2
Tudor, Sebastian F.
2
Wang, Xiaoqun
2
Yamazaki, Akira
2
Yang, Nian
2
Zhu, Song-Ping
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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
206
Journal of banking & finance
143
Journal of financial economics
100
The journal of computational finance
99
Applied mathematical finance
95
Finance research letters
94
The journal of futures markets
90
Mathematical finance : an international journal of mathematics, statistics and financial theory
83
Journal of econometrics
71
The North American journal of economics and finance : a journal of financial economics studies
68
European journal of operational research : EJOR
64
Journal of economic dynamics & control
64
Journal of empirical finance
64
Finance and stochastics
61
Energy economics
59
NBER working paper series
59
Review of derivatives research
59
Working paper / National Bureau of Economic Research, Inc.
59
International journal of financial engineering
58
Research paper series / Swiss Finance Institute
58
Computational economics
56
Management science : journal of the Institute for Operations Research and the Management Sciences
56
International review of economics & finance : IREF
51
International review of financial analysis
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
49
NBER Working Paper
45
Journal of mathematical finance
44
Applied economics
42
Economic modelling
41
Risks : open access journal
40
Swiss Finance Institute Research Paper
39
Journal of risk and financial management : JRFM
37
The review of financial studies
37
Review of quantitative finance and accounting
35
Insurance / Mathematics & economics
34
Annals of finance
32
The journal of finance : the journal of the American Finance Association
32
Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
175
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
3
Technical analysis as a sentiment barometer and the cross-section of stock returns
Ding, Wenjie
;
Mazouz, Khelifa
;
Ap Gwilym, Owain
;
Wang, …
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1617-1636
Persistent link: https://www.econbiz.de/10014419182
Saved in:
4
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
5
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
6
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
7
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
8
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
9
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
10
The
pricing
of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
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