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~subject:"Volatilität"
~isPartOf:"Quantitative finance"
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Volatilität
Option pricing theory
190
Optionspreistheorie
190
Volatility
106
Stochastic process
104
Stochastischer Prozess
104
CAPM
51
Option trading
50
Optionsgeschäft
50
Derivat
41
Derivative
41
Portfolio selection
39
Portfolio-Management
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Option pricing
29
Hedging
28
Theorie
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Stochastic volatility
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106
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Felpel, Mike
3
Gatheral, Jim
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Horvath, Blanka Nora
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Jacquier, Antoine
3
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2
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2
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2
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2
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2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
Kim, Jeong-Hoon
2
Martini, Claude
2
Muguruza, Aitor
2
Pirjol, Dan
2
Rosenbaum, Mathieu
2
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2
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Yamazaki, Akira
2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Quantitative finance
International journal of theoretical and applied finance
175
Journal of banking & finance
112
The journal of futures markets
84
Applied mathematical finance
83
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Finance research letters
71
Journal of financial economics
71
Journal of econometrics
65
The journal of computational finance
65
Review of derivatives research
55
The North American journal of economics and finance : a journal of financial economics studies
53
Working paper / National Bureau of Economic Research, Inc.
49
International journal of financial engineering
48
Journal of economic dynamics & control
48
NBER working paper series
48
Finance and stochastics
47
International review of economics & finance : IREF
46
Research paper series / Swiss Finance Institute
46
European journal of operational research : EJOR
45
Energy economics
44
Journal of empirical finance
44
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
NBER Working Paper
39
Computational economics
38
International review of financial analysis
38
Journal of mathematical finance
37
Economic modelling
36
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Annals of finance
32
The European journal of finance
32
Applied economics
30
Review of quantitative finance and accounting
30
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
29
The review of financial studies
29
Risks : open access journal
28
Insurance / Mathematics & economics
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
106
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
3
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
4
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
5
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
6
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
7
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
8
Option
pricing
under stochastic volatility models with latent volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
Saved in:
9
Smooth ambiguity preferences and asset prices with a jump-diffusion process
Suzuki, Masataka
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 871-887
Persistent link: https://www.econbiz.de/10013367866
Saved in:
10
Probability weighting and default risk : a possible explanation for distressed stock puzzles
Yamazaki, Akira
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 745-767
Persistent link: https://www.econbiz.de/10012262617
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