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~isPartOf:"Review of derivatives research"
~subject:"Volatility"
~subject:"Zinsstruktur"
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Volatility
Zinsstruktur
Derivat
68
Derivative
68
Option pricing theory
44
Optionspreistheorie
44
Volatilität
20
Theorie
19
Theory
19
Option trading
18
Optionsgeschäft
18
Stochastic process
14
Stochastischer Prozess
14
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13
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13
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10
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8
Risiko
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7
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Black-Scholes model
5
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5
Option pricing
5
Portfolio selection
5
Portfolio-Management
5
Credit derivative
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Kreditderivat
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Options
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Risikomanagement
4
Risikoprämie
4
Risk management
4
Risk premium
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Stochastic volatility
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Kim, Young Shin
2
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1
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Review of derivatives research
International journal of theoretical and applied finance
58
The journal of futures markets
50
Journal of banking & finance
41
Energy economics
33
Applied mathematical finance
30
International review of financial analysis
25
Quantitative finance
25
Finance research letters
22
International review of economics & finance : IREF
20
The European journal of finance
18
European journal of operational research : EJOR
15
Applied financial economics
14
International journal of financial engineering
14
Journal of econometrics
14
Research in international business and finance
14
The journal of computational finance
14
Journal of empirical finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics letters
12
Journal of financial economics
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Working paper
12
Applied economics
11
Journal of economic dynamics & control
11
Finance and stochastics
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Discussion paper / Centre for Economic Policy Research
9
Journal of financial markets
9
Journal of international financial markets, institutions & money
9
Journal of mathematical finance
9
Risks : open access journal
9
The journal of fixed income
9
International journal of bonds and derivatives
8
Journal of risk and financial management : JRFM
8
NBER working paper series
8
Research paper series / Swiss Finance Institute
8
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
7
Finance India : the quarterly journal of Indian Institute of Finance
7
Finance and economics discussion series
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ECONIS (ZBW)
29
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
5
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
6
Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun
;
Zhao, Yang
;
Nan, Jiangxia
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 93-107
Persistent link: https://www.econbiz.de/10013191386
Saved in:
7
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
8
A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos
;
Nunes, Joaõ Pedro Vidal
;
Cruz, Aricson
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
Saved in:
9
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
10
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
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