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~isPartOf:"The journal of computational finance"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Conference proceedings"
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Volatility
Option pricing theory
248
Optionspreistheorie
248
Theorie
136
Theory
136
Stochastic process
100
Stochastischer Prozess
100
Volatilität
72
Option trading
58
Optionsgeschäft
58
Monte Carlo simulation
51
Monte-Carlo-Simulation
51
Derivat
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Derivative
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34
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22
Zinsderivat
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stochastic volatility
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Amtliche Publikation
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72
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English
72
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Coleman, Thomas F.
3
Le Floc'h, Fabien
3
Li, Yuying
3
Rebonato, Riccardo
3
Andersen, Leif B. G.
2
Brotherton-Ratcliffe, Rupert
2
Ehrhardt, Matthias
2
Grzelak, Lech A.
2
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2
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2
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2
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2
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2
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2
Ahdida, Abdelkoddousse
1
Albani, Vinícius
1
Alfonsi, Aurélien
1
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1
Audrino, Francesco
1
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1
Belak, Christoph
1
Benk, Janos
1
Bodurtha, James N.
1
Bourgey, Florian
1
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1
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1
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1
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1
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1
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1
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1
Deryabin, Mikhail
1
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1
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The journal of computational finance
Journal of econometrics
263
Journal of banking & finance
213
International journal of theoretical and applied finance
211
Finance research letters
171
Quantitative finance
157
Journal of empirical finance
135
Economics letters
130
Economic modelling
129
The journal of futures markets
122
Energy economics
118
Journal of economic dynamics & control
118
The North American journal of economics and finance : a journal of financial economics studies
117
Journal of financial economics
116
International review of financial analysis
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
Applied economics
111
Applied mathematical finance
107
International review of economics & finance : IREF
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
International journal of forecasting
96
Computational economics
87
The European journal of finance
82
Journal of international money and finance
81
Journal of risk and financial management : JRFM
78
Journal of international financial markets, institutions & money
75
Finance and stochastics
74
The review of financial studies
73
Econometric reviews
72
Journal of financial econometrics : official journal of the Society for Financial Econometrics
71
Journal of forecasting
71
Applied economics letters
69
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
Risks : open access journal
68
European journal of operational research : EJOR
63
Review of derivatives research
63
Applied financial economics
59
Journal of mathematical finance
59
The journal of finance : the journal of the American Finance Association
59
International journal of financial engineering
57
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ECONIS (ZBW)
72
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1
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
2
From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A.
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
Saved in:
3
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
4
Analytical conversion between implied volatilities based on different dividend models
Lucic, Vladimir
;
Jovanović, Vladimir
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 103-120
Persistent link: https://www.econbiz.de/10014314571
Saved in:
5
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
6
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
7
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio
;
Ferreira, Eva
;
Nualart, Eulàlia
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
Saved in:
8
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:
9
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
10
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
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