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~language:"eng"
~person:"Carr, Peter"
~person:"Fabozzi, Frank J."
~subject:"Derivative"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschriften"
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121
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82
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82
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80
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80
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Carr, Peter
Fabozzi, Frank J.
Lien, Da-hsiang Donald
47
Benth, Fred Espen
40
Escudero, Laureano F.
40
McAleer, Michael
36
Escobar, Marcos
31
Siu, Tak Kuen
29
Jarrow, Robert A.
27
Madan, Dilip B.
27
Elliott, Robert J.
25
Gendreau, Michel
25
Phillips, Peter C. B.
25
Wang, Xingchun
25
Hainaut, Donatien
24
Cui, Zhenyu
23
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23
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22
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22
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21
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21
Kit, Pong Wong
21
Takahashi, Akihiko
21
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21
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21
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19
Leung, Tim
19
Todorov, Viktor
19
Tsionas, Efthymios G.
19
Yu, Jun
19
Gouriéroux, Christian
18
Platen, Eckhard
18
Shapiro, Alexander
18
Tauchen, George Eugene
18
Bayraktar, Erhan
17
García, Philip
17
Jeanblanc, Monique
16
Maggioni, Francesca
16
Rossi, Roberto
16
Ryu, Doojin
16
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International journal of theoretical and applied finance
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Computational economics
5
Finance and stochastics
5
European financial management : the journal of the European Financial Management Association
3
Journal of financial economics
3
Review of derivatives research
3
The journal of derivatives : JOD
3
The journal of fixed income
3
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2
Journal of economic dynamics & control
2
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2
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2
The journal of computational finance
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
The journal of finance : the journal of the American Finance Association
2
The journal of portfolio management : a publication of Institutional Investor
2
Annals of operations research
1
Annual review of financial economics
1
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1
Econometric reviews
1
Econometric theory
1
Economics letters
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Insurance / Mathematics & economics
1
International review of financial analysis
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
Journal of risk and financial management : JRFM
1
Risks : open access journal
1
The European journal of finance
1
The journal of economic perspectives : EP ; a journal of the American Economic Association
1
The journal of trading
1
The review of financial studies
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ECONIS (ZBW)
74
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1
Applications of FX derivatives in active currency risk management
Fabozzi, Frank J.
;
Vohra, Suprita
- In:
The journal of derivatives : JOD
29
(
2022
)
4
,
pp. 168-191
Persistent link: https://www.econbiz.de/10014231064
Saved in:
2
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
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
Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
5
Static replication of European standard dispersion options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 799-811
Persistent link: https://www.econbiz.de/10013367861
Saved in:
6
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
7
Additive logistic processes in option pricing
Carr, Peter
;
Torricelli, Lorenzo
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
Saved in:
8
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
9
A functional analysis approach to the static replication of European options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
Saved in:
10
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
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