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Search: subject:"Fourier Inversion"
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Fourier inversion
19
Option pricing theory
12
Optionspreistheorie
12
Stochastic process
11
Stochastischer Prozess
10
stochastic volatility
7
characteristic function
6
Option trading
5
Optionsgeschäft
5
Volatility
5
Volatilität
5
Carr-Madan
4
Derivat
4
Derivative
4
Heston
4
Portfolio selection
4
Portfolio-Management
4
damping
4
option pricing
4
saddlepoint approximations
4
Risikomaß
3
Risk measure
3
Statistical distribution
3
Statistische Verteilung
3
Theorie
3
Theory
3
Benchmark approach
2
Benchmarking
2
Characteristic function
2
Control variate
2
Correlation
2
Credit risk
2
Exchange option
2
Finance
2
Forex
2
Fourier-Inversion method
2
Heston stochastic volatility model
2
Korrelation
2
Kreditrisiko
2
Loss
2
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Undetermined
9
Free
8
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Article
17
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7
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12
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4
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2
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2
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2
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English
17
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7
Author
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Kahl, Christian
4
Lord, Roger
4
Byström, Hans
2
Caldana, Ruggero
2
Chen, Rongda
2
Fusai, Gianluca
2
Gnoatto, Alessandro
2
Grasselli, Martino
2
Platen, Eckhard
2
Stahl, Daniel H.
2
Yu, Lean
2
Zhang, Zhimin
2
Anderluh, J.
1
Anderluh, J. H. M.
1
BERNARD, CAROLE
1
Bernard, Carole
1
CUI, ZHENYU
1
Cui, Zhenyu
1
MCLEISH, DON
1
Madan, Dilip B.
1
McLeish, Don L.
1
Pellegrino, Tommaso
1
Schneider, Lorenz
1
Shimizu, Yasutaka
1
Tavin, Bertrand
1
Wang, King
1
Weide, Hans van der
1
Weide, J.
1
Wong, Hoi Ying
1
Yang, Hailiang
1
Zhao, Jing
1
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Nationalekonomiska Institutionen, Ekonomihögskolan
1
Tinbergen Institute
1
Tinbergen Instituut
1
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Journal of banking & finance
2
Tinbergen Institute Discussion Papers
2
Applied mathematical finance
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion paper / Tinbergen Institute
1
Economic Modelling
1
Economic modelling
1
Finance and Stochastics
1
Finance and stochastics
1
Insurance / Mathematics & economics
1
Insurance: Mathematics and Economics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
1
Journal of Banking & Finance
1
Journal of mathematical finance
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of futures markets
1
The journal of operational risk
1
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1
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1
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ECONIS (ZBW)
14
RePEc
8
EconStor
2
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1
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
Saved in:
2
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
3
Risk neutral jump arrival rates implied in option prices and their models
Madan, Dilip B.
;
Wang, King
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 201-235
Persistent link: https://www.econbiz.de/10013171070
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4
From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz
;
Tavin, Bertrand
- In:
Journal of banking & finance
95
(
2018
),
pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
Saved in:
5
Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
Shimizu, Yasutaka
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 84-98
Persistent link: https://www.econbiz.de/10011712403
Saved in:
6
A general closed form approximation pricing formula for basket and multi-asset spread options
Pellegrino, Tommaso
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
Saved in:
7
Operational loss with correlated frequency and severity : an analytical approach
Stahl, Daniel H.
- In:
The journal of operational risk
11
(
2016
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011600204
Saved in:
8
Loss distributions : computational efficiency in an extended framework
Stahl, Daniel H.
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10011442456
Saved in:
9
Optimal
Fourier
inversion
in semi-analytical option pricing
Lord, Roger
;
Kahl, Christian
-
2007
-
This version: 10th May 2007
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10011349177
Saved in:
10
Optimal
Fourier
Inversion
in Semi-analytical Option Pricing
Lord, Roger
;
Kahl, Christian
-
2006
At the time of writing this article,
Fourier
inversion
is the computational method of choice for a fast and accurate …
Persistent link: https://www.econbiz.de/10010325539
Saved in:
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