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~language:"ces"
~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Grasselli, Martino"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Article"
~type_genre:"Handbook"
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Stochastic process
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96
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Fabozzi, Frank J.
Grasselli, Martino
Escudero, Laureano F.
40
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31
Escobar, Marcos
29
Gendreau, Michel
25
Siu, Tak Kuen
25
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24
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23
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21
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20
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20
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19
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18
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14
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13
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13
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13
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International journal of theoretical and applied finance
6
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3
Journal of economic dynamics & control
3
Decisions in economics and finance : a journal of applied mathematics
2
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2
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World Scientific handbook in financial economics series
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ECONIS (ZBW)
39
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1
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
2
Long versus short time scales : the rough dilemma and beyond
Garcin, Matthieu
;
Grasselli, Martino
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 257-278
Persistent link: https://www.econbiz.de/10013380566
Saved in:
3
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
4
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia
;
Grasselli, Martino
;
Pagès, Gilles
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
Saved in:
5
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
6
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
7
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
Saved in:
8
Handbook of heavy-tailed distributions in asset management and risk management
Bianchi, Michele Leonardo
;
Stoyanov, Stoyan V.
; …
-
2019
Persistent link: https://www.econbiz.de/10012010807
Saved in:
9
Handbook of heavy-tailed distributions in asset management and risk management
Bianchi, Michele Leonardo
;
Stoyanov, Stoyan V.
; …
-
2019
Persistent link: https://www.econbiz.de/10012643535
Saved in:
10
Pricing derivatives in hermite markets
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Mittnik, Stefan
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
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