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  • Search: person:"Schneider, Marina"
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Year of publication
Subject
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Estimation theory 2 Implied volatility 2 Schätztheorie 2 Volatility 2 Volatilität 2 discrete empirical interpolation method 2 local volatility models 2 model order reduction 2 partial differential equations 2 proper orthogonal decomposition 2 Black-Scholes model 1 Black-Scholes-Modell 1 Economic model 1 Financial econometrics 1 Finanzmarktökonometrie 1 Modellierung 1 Option pricing theory 1 Optionspreistheorie 1 Ordnungsreduktion 1 Parametrisiertes System 1 Scientific modelling 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wirtschaftsmodell 1
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Online availability
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Undetermined 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1 Thesis 1
Language
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English 2 German 1 Undetermined 1
Author
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Schneider, Marina 3 Sachs, Ekkehard 2 Kawohl, Julian 1 Manikowsky, Niklas 1 Rösch, Alexander 1 SACHS, EKKEHARD W. 1 SCHNEIDER, MARINA 1 Thyen, Felix 1 Timofeeva, Tatiana 1 Volkwein, Stefan 1
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Institution
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Universität Trier 1
Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Organisationsentwicklung : Zeitschrift für Unternehmensentwicklung und Change Management 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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Groß denken : eine Reifegradanalyse für die Ökosystemwelt
Kawohl, Julian; Rösch, Alexander; Thyen, Felix; … - In: Organisationsentwicklung : Zeitschrift für … 43 (2024) 2, pp. 35-42
Persistent link: https://www.econbiz.de/10014507754
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Model order reduction in parameter identification problems : error estimates and application to implied volatility surfaces
Schneider, Marina - 2015
Persistent link: https://www.econbiz.de/10011532683
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REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY
SACHS, EKKEHARD W.; SCHNEIDER, MARINA - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450053-1
Implied volatility is a key value in financial mathematics. We discuss some of the pros and cons of the standard ways to compute this quantity, i.e. numerical inversion of the well-known Black–Scholes formula or asymptotic expansion approximations, and propose a new way to directly calculate...
Persistent link: https://www.econbiz.de/10011106365
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Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard; Schneider, Marina - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
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