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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
Option trading
83
Optionsgeschäft
83
Monte Carlo simulation
68
Monte-Carlo-Simulation
68
Derivat
55
Derivative
55
Portfolio selection
37
Portfolio-Management
37
Black-Scholes model
34
Black-Scholes-Modell
33
Yield curve
32
Zinsstruktur
32
Estimation theory
29
Schätztheorie
29
Analysis
26
Interest rate derivative
26
Mathematical analysis
26
Simulation
26
Zinsderivat
26
Credit risk
23
Kreditrisiko
23
Mathematical programming
21
Mathematische Optimierung
21
Finanzmathematik
17
Hedging
17
Mathematical finance
17
Risikomaß
17
Risk measure
17
Statistical distribution
16
Statistische Verteilung
16
Swap
16
stochastic volatility
16
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Undetermined
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Article
456
Book / Working Paper
6
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388
Aufsatz in Zeitschrift
388
Collection of articles of several authors
4
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4
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2
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1
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English
395
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67
Author
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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.
4
Warin, Xavier
4
Brotherton-Ratcliffe, Rupert
3
Dang, Duy Minh
3
Ehrhardt, Matthias
3
Fouque, Jean-Pierre
3
Glau, Kathrin
3
Grzelak, Lech A.
3
Guyon, Julien
3
Han, Chuan-Hsiang
3
Hout, Karel J. in 't
3
Iyengar, Garud
3
Joshi, Mark
3
Kirkby, J. Lars
3
Korn, Ralf
3
Le Floc'h, Fabien
3
Li, Duan
3
Mnif, Mohamed
3
Ng, Leslie
3
Oosterlee, Cornelis W
3
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Published in...
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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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1
Modeling the bid and ask prices of options
Madan, Dilip B.
;
Schoutens, Wim
;
Wang, King
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 1-36
Persistent link: https://www.econbiz.de/10014342059
Saved in:
2
An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew
;
Fu, Hao
;
Krishnamurthy, Prashanth
; …
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 37-65
Persistent link: https://www.econbiz.de/10014342063
Saved in:
3
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
Saved in:
4
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
5
Modeling the bid and ask prices of options
Madan, Dilip B.
;
Schoutens, Wim
;
Wang, King
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 3-36
Persistent link: https://www.econbiz.de/10014486879
Saved in:
6
An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew
;
Fu, Hao
;
Krishnamurthy, Prasanth
; …
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 37-65
Persistent link: https://www.econbiz.de/10014486884
Saved in:
7
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014486902
Saved in:
8
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014486917
Saved in:
9
Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
Díaz Lozano, Pere
;
Lozano Bagén, Toni
;
Vives, Josep
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014486922
Saved in:
10
A general control variate method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro
;
Wang, Cong
;
Yamazaki, Akira
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
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