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Search: subject:"Stochastic Volatility"
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Stochastic process
22
Stochastischer Prozess
22
Volatility
22
Volatilität
22
Option pricing theory
18
Optionspreistheorie
18
stochastic volatility
15
Experiment
7
Option trading
7
Optionsgeschäft
7
Portfolio selection
5
Portfolio-Management
5
Stochastic volatility
4
Derivat
3
Derivative
3
Estimation
3
Schätzung
3
Theorie
3
Theory
3
implied volatility
3
Asian options
2
Black-Scholes model
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Black-Scholes-Modell
2
Hedging
2
Liquidity
2
Liquidität
2
Malliavin calculus
2
Mathematical programming
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Mathematische Optimierung
2
Time series analysis
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Yield curve
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Zeitreihenanalyse
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Zinsstruktur
2
stochastic liquidity
2
3/2 model
1
Accelerated share repurchases
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Aktienrückkauf
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Australia
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Alòs, Elisa
2
Escobar, Marcos
2
Pravosud, Makar
2
Sircar, Kaushik Ronnie
2
Zagst, Rudi
2
Badran, Alexander
1
Baldeaux, Jan
1
Brody, Dorje C.
1
Cheridito, Patrick
1
Deelstra, Griselda
1
Duck, Peter W.
1
Evatt, Geoffrey W.
1
Ewald, Christian-Oliver
1
Fouque, Jean-Pierre
1
Fuertes, Carlos
1
García Lorite, David
1
Goetz, Barbara
1
Goutte, Stéphane
1
Götz, Barbara
1
Hoencamp, J. H.
1
Hu, Ruimeng
1
Ismail, Amine
1
Johnson, Paul V.
1
Kandhai, B. D.
1
Kennedy, Joanne E.
1
Kort, J. P. de
1
Krishnan, Nikhil
1
Law, Yan Tai
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Nualart, Eulalia
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Pospíšil, Jan
1
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1
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Applied mathematical finance
International journal of theoretical and applied finance
65
International Journal of Theoretical and Applied Finance (IJTAF)
50
Tinbergen Institute Discussion Papers
50
Working Paper
50
CREATES Research Papers
44
Journal of econometrics
44
Discussion paper / Tinbergen Institute
43
Quantitative finance
40
MPRA Paper
39
Tinbergen Institute Discussion Paper
37
Quantitative Finance
29
Journal of economic dynamics & control
28
Finance and Stochastics
26
Physica A: Statistical Mechanics and its Applications
25
Working paper
25
Finance research letters
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Applied Mathematical Finance
23
CAMA working paper series
22
CIRANO Working Papers
21
Energy economics
21
Research Paper Series / Finance Discipline Group, Business School
21
Economics Series Working Papers / Department of Economics, Oxford University
20
Journal of banking & finance
20
Computational economics
19
The journal of computational finance
19
ECB Working Paper
18
Economics letters
18
European journal of operational research : EJOR
18
The journal of futures markets
18
Economics Papers / Economics Group, Nuffield College, University of Oxford
17
Journal of Risk and Financial Management
17
Review of Derivatives Research
17
The North American journal of economics and finance : a journal of financial economics studies
17
CEPR Discussion Papers
16
Journal of mathematical finance
16
Journal of risk and financial management : JRFM
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Economic modelling
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ECONIS (ZBW)
22
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1
The impact of
stochastic
volatility
on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
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 implied volatility of Asian options under
stochastic
volatility
models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
4
Accelerated share repurchases under
stochastic
volatility
Krishnan, Nikhil
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 331-365
Persistent link: https://www.econbiz.de/10014323481
Saved in:
5
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
6
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre
;
Hu, Ruimeng
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
Saved in:
7
Log-optimal portfolios with memory effect
Nika, Zsolt
;
Rásonyi, Miklos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 557-585
Persistent link: https://www.econbiz.de/10012129182
Saved in:
8
Two asset-barrier option under
stochastic
volatility
Goetz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 520-546
Persistent link: https://www.econbiz.de/10011815295
Saved in:
9
Regime-switching
stochastic
volatility
model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
10
Market calibration under a long memory
stochastic
volatility
model
Pospíšil, Jan
;
Sobotka, Tomáš
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
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