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~isPartOf:"Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra"
~isPartOf:"Applied mathematical finance"
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Malliavin calculus
9
Option pricing theory
9
Optionspreistheorie
9
Stochastic process
9
Stochastischer Prozess
9
Analysis
7
Mathematical analysis
7
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3
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American lookback option
1
And phrases: binomial tree model
1
Arbeitskampf
1
Black-Scholes model
1
Black-Scholes-Modell
1
British lookback option with fixed strike
1
Börsenkurs
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Conditional Monte Carlo
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Control theory
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Alòs, Elisa
7
Kohatsu, Arturo
4
León, Jorge A.
2
Antonelli, Fabio
1
Arai, Takuji
1
Baptiste, Julien
1
Bermin, Hans Peter
1
Carreras, D. Márquez
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Chevalier, Etienne
1
Corcuera, José Mª
1
Dang, Duy Minh
1
De Angelis, Tiziano
1
Eberlein, Ernst
1
Eddahbi, M'hamed
1
Ewald, Christian-Olivier
1
García Lorite, David
1
Hambly, Ben
1
Imai, Yuto
1
Imkeller, Peter
1
Jackson, Kenneth R.
1
Kalsi, Jasdeep
1
Kitapbayev, Yerkin
1
Lim, Thomas
1
Lépinette, Emmanuel
1
Mohammadi, Mohammadreza
1
Newbury, James
1
Ninomiya, Syoiti
1
Nualart, David
1
Peskir, Goran
1
Pontier, Monique
1
Pravosud, Makar
1
Romero, Ricardo Romo
1
Sabate Vidales, Marc
1
Siska, David
1
Solé, M. Sanz
1
Szpruch, Łukasz
1
Torricelli, Lorenzo
1
Victoir, Nicolas
1
Vives, Josep
1
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Department of Economics and Business, Universitat Pompeu Fabra
10
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
Applied mathematical finance
Physica A: Statistical Mechanics and its Applications
38
International journal of theoretical and applied finance
30
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
25
Stochastic Processes and their Applications
21
Finance and stochastics
20
Journal of economic dynamics & control
20
Journal of mathematical finance
20
The journal of computational finance
20
Insurance / Mathematics & economics
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
Discussion papers of interdisciplinary research project 373
17
Working paper / National Bureau of Economic Research, Inc.
17
Mathematics Preprint Archive
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Journal of econometrics
15
Quantitative finance
15
European journal of operational research : EJOR
14
Finance and Stochastics
14
SpringerLink / Bücher
14
Discussion paper / Centre for Economic Policy Research
13
NBER working paper series
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CESifo working papers
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IMF Working Papers
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Mathematics of operations research
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Discussion paper / Center for Economic Research, Tilburg University
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Economics letters
11
International journal of financial engineering
11
Macroeconomic dynamics
11
NBER Working Paper
11
Risks : open access journal
11
CORE discussion papers : DP
10
Mathematics and Computers in Simulation (MATCOM)
10
SFB 649 discussion paper
10
Annals of operations research
9
Computational economics
9
Economic modelling
9
Economics Papers from University Paris Dauphine
9
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ECONIS (ZBW)
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RePEc
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1
Unbiased deep solvers for linear parametric PDEs
Sabate Vidales, Marc
;
Siska, David
;
Szpruch, Łukasz
- In:
Applied mathematical finance
28
(
2021
)
4
,
pp. 299-329
Persistent link: https://www.econbiz.de/10013411699
Saved in:
2
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
On the closed-form approximation of short-time random strike options
Alòs, Elisa
;
León, Jorge A.
-
Department of Economics and Business, Universitat …
-
2013
short-time options with random strikes. Our method is based on Malliavin
calculus
techniques and allows us to obtain simple …
Persistent link: https://www.econbiz.de/10010660296
Saved in:
4
Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Hambly, Ben
;
Kalsi, Jasdeep
;
Newbury, James
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 132-170
Persistent link: https://www.econbiz.de/10012254111
Saved in:
5
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
Department of Economics and Business, Universitat …
-
2014
increases. Then, by means of classical Itô's
calculus
we decompose option prices as the sum of the classical Black …
Persistent link: https://www.econbiz.de/10010938706
Saved in:
6
Volatility targeting using delayed diffusions
Torricelli, Lorenzo
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 213-246
Persistent link: https://www.econbiz.de/10012128945
Saved in:
7
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin
calculus
Arai, Takuji
;
Imai, Yuto
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 247-267
Persistent link: https://www.econbiz.de/10012128947
Saved in:
8
Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien
;
Lépinette, Emmanuel
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
Saved in:
9
Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
10
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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