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~isPartOf:"The journal of computational finance"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
~type:"article"
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Monte Carlo simulation
Volatilität
Yield curve
29
Zinsstruktur
29
Option pricing theory
24
Optionspreistheorie
24
Interest rate derivative
15
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15
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Korn, Ralf
2
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1
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1
Andersen, Leif B. G.
1
Briani, Maya
1
Brotherton-Ratcliffe, Rupert
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1
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1
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1
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The journal of computational finance
Journal of banking & finance
24
The journal of futures markets
23
International journal of theoretical and applied finance
18
Journal of financial economics
16
Journal of empirical finance
15
Journal of international money and finance
14
The review of financial studies
14
The North American journal of economics and finance : a journal of financial economics studies
12
The journal of fixed income
12
Economic modelling
11
Economics letters
11
Finance research letters
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Quantitative finance
11
Applied financial economics
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Applied mathematical finance
9
Journal of financial and quantitative analysis : JFQA
9
Energy economics
8
International review of financial analysis
8
Journal of econometrics
8
Finance and stochastics
7
Journal of money, credit and banking : JMCB
7
The journal of finance : the journal of the American Finance Association
7
Asia-Pacific financial markets
6
Computational economics
6
Journal of international financial markets, institutions & money
6
The European journal of finance
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
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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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International journal of forecasting
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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Macroeconomics and finance in emerging market economies
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Review of derivatives research
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1
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.
;
Frangos, Nikolaos E.
; …
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
Saved in:
7
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
8
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:
9
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:
10
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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