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~isPartOf:"The journal of computational finance"
~subject:"Energiemarkt"
~subject:"Option pricing theory"
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Energiemarkt
Option pricing theory
Derivat
43
Derivative
43
Optionspreistheorie
33
Theorie
14
Theory
14
Stochastic process
12
Stochastischer Prozess
12
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derivatives pricing
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Crépey, Stéphane
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1
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The journal of computational finance
International journal of theoretical and applied finance
103
Applied mathematical finance
63
Energy economics
52
Quantitative finance
44
Review of derivatives research
44
The journal of futures markets
38
Journal of banking & finance
31
European journal of operational research : EJOR
30
Journal of mathematical finance
30
International journal of financial engineering
24
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Risks : open access journal
22
Journal of economic dynamics & control
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
Finance research letters
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
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SpringerLink / Bücher
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Computational economics
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International review of financial analysis
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Journal of econometrics
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Applied economics letters
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Insurance / Mathematics & economics
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International review of economics & finance : IREF
14
Annals of finance
12
Applied economics
11
Journal of risk and financial management : JRFM
11
SFB 649 discussion paper
11
Wiley finance series
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Mathematical finance
10
Research paper series / Swiss Finance Institute
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Economic modelling
9
Lecture notes in economics and mathematical systems : LNEMS
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Asia-Pacific financial markets
8
Journal of financial economics
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
6
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
7
Nowcasting networks
Chataigner, Marc
;
Crépey, Stéphane
;
Pu, Jiang
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
Saved in:
8
Variance optimal hedging with application to electricity markets
Warin, Xavier
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
Saved in:
9
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:
10
Hedging of options in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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