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Search: isPartOf:"The journal of computational finance"
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Option pricing theory
265
Optionspreistheorie
265
Theorie
152
Theory
152
Stochastic process
132
Stochastischer Prozess
132
Volatility
86
Volatilität
86
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83
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83
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68
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68
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55
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55
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37
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37
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34
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33
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32
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32
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29
Schätztheorie
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26
Interest rate derivative
26
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23
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Finanzmathematik
17
Hedging
17
Mathematical finance
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Risikomaß
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16
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stochastic volatility
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Madan, Dilip B.
9
Forsyth, Peter
8
Andersen, Leif B. G.
7
Reisinger, Christoph
7
Vázquez, Carlos
7
Joshi, Mark S.
6
Li, Yuying
6
Rebonato, Riccardo
6
Schoutens, Wim
6
Coleman, Thomas F.
5
Glasserman, Paul
5
Oosterlee, Cornelis Willebrordus
5
Carr, Peter
4
Chan, Jiun Hong
4
Crépey, Stéphane
4
Oosterlee, Cornelis W.
4
Pagès, Gilles
4
Rustem, Berç
4
Schoenmakers, John
4
Tankov, Peter
4
Vetzal, Kenneth R.
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Warin, Xavier
4
Brotherton-Ratcliffe, Rupert
3
Dang, Duy Minh
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Han, Chuan-Hsiang
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Iyengar, Garud
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3
Kirkby, J. Lars
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Korn, Ralf
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Le Floc'h, Fabien
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Li, Duan
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Mnif, Mohamed
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The journal of computational finance
448
The journal of computational finance : JFC
14
Source
All
ECONIS (ZBW)
395
OLC EcoSci
67
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31
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:
32
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Saved in:
33
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:
34
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:
35
Pricing American options under negative rates
Healy, Jherek
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012672294
Saved in:
36
Fast pricing of American options under variance gamma
Fu, Weilong
;
Hirsa, Ali
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10012672301
Saved in:
37
The effects of transaction costs and illiquidity on the prices of volatility derivatives
Dilloo, Mehzabeen Jumanah
;
Tangman, Désiré Yannick
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 51-75
Persistent link: https://www.econbiz.de/10012672309
Saved in:
38
A simple and robust approach for expected shortfall estimation
Pan, Zhibin
;
Pang, Tao
;
Zhao, Yang
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 77-107
Persistent link: https://www.econbiz.de/10012672323
Saved in:
39
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:
40
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:
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