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~isPartOf:"The journal of computational finance"
~subject:"Derivative"
~subject:"Volatilität"
~type:"article"
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Derivative
Volatilität
Yield curve
29
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29
Option pricing theory
24
Optionspreistheorie
24
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15
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15
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Reisinger, Christoph
2
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1
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1
Andersen, Leif B. G.
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1
Briani, Maya
1
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1
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1
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1
Sidenius, Jakob
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Vázquez, Carlos
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The journal of computational finance
International journal of theoretical and applied finance
37
Journal of banking & finance
35
The journal of futures markets
28
Journal of financial economics
21
Journal of empirical finance
18
The journal of fixed income
18
Quantitative finance
17
Applied mathematical finance
16
Journal of financial and quantitative analysis : JFQA
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Journal of international money and finance
14
The review of financial studies
14
Review of derivatives research
13
The European journal of finance
12
Applied financial economics
11
Economic modelling
11
Economics letters
11
Finance research letters
10
Journal of money, credit and banking : JMCB
10
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
International review of financial analysis
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Energy economics
8
Finance and stochastics
8
Journal of econometrics
8
Journal of international financial markets, institutions & money
8
The journal of finance : the journal of the American Finance Association
8
Asia-Pacific financial markets
7
Journal of mathematical finance
7
Risks : open access journal
7
European journal of operational research : EJOR
6
International journal of financial engineering
6
International review of economics & finance : IREF
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of risk and financial management : JRFM
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Emerging markets, finance and trade : EMFT
5
Insurance / Mathematics & economics
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15
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
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:
3
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:
4
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
5
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
Saved in:
6
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
7
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
8
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
9
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
10
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
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