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~isPartOf:"International Journal of Theoretical and Applied Finance (IJTAF)"
~isPartOf:"The journal of computational finance"
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Search: subject:"Stochastic Volatility"
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stochastic volatility
44
Volatility
18
Volatilität
18
Option pricing theory
17
Optionspreistheorie
17
Stochastic process
17
Stochastischer Prozess
17
option pricing
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Stochastic volatility
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stochastic volatility models
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TAKAHASHI, AKIHIKO
4
TAKEHARA, KOHTA
3
CHIARELLA, CARL
2
Le Floc'h, Fabien
2
MERCURIO, FABIO
2
TODA, MASASHI
2
ZUBELLI, JORGE P.
2
AHLIP, REHEZ
1
ALBANESE, CLAUDIO
1
ANTONELLI, FABIO
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1
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1
BERNARD, CAROLE
1
BORMETTI, GIACOMO
1
BOYARCHENKO, MITYA
1
BOYARCHENKO, SVETLANA
1
BROADIE, MARK
1
BRODY, DORJE C.
1
Briani, Maya
1
CARR, PETER
1
CAZZOLA, VALENTINA
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CHEN, TZU-YING
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COSTABILE, M.
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CUI, ZHENYU
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CUTHBERTSON, CHARLES
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Caramellino, Lucia
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Corlay, Sulvain
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D'IPPOLITI, FERNANDA
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DOKUCHAEV, NIKOLAI
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DUAN, JIN-CHUAN
1
Drimus, Gabriel
1
Ehrhardt, Matthias
1
Escobar, Marcos
1
FEDOTOV, SERGEI
1
FORDE, MARTIN
1
FOUQUE, JEAN-PIERRE
1
Farkas, Walter
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International Journal of Theoretical and Applied Finance (IJTAF)
The journal of computational finance
International journal of theoretical and applied finance
65
Tinbergen Institute Discussion Papers
50
Working Paper
47
CREATES Research Papers
44
Journal of econometrics
44
Discussion paper / Tinbergen Institute
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MPRA Paper
39
Quantitative finance
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Tinbergen Institute Discussion Paper
37
Quantitative Finance
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Journal of economic dynamics & control
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Finance and Stochastics
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Physica A: Statistical Mechanics and its Applications
25
Working paper
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Applied Mathematical Finance
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CAMA working paper series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied mathematical finance
21
CIRANO Working Papers
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Energy economics
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Research Paper Series / Finance Discipline Group, Business School
21
Economics Series Working Papers / Department of Economics, Oxford University
20
Journal of banking & finance
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Computational economics
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ECB Working Paper
18
Economics letters
18
European journal of operational research : EJOR
18
Economics Papers / Economics Group, Nuffield College, University of Oxford
17
Finance research letters
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
The journal of futures markets
17
CEPR Discussion Papers
16
Journal of mathematical finance
16
Journal of risk and financial management : JRFM
16
Economic modelling
15
Insurance / Mathematics & economics
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RePEc
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ECONIS (ZBW)
18
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1
An artificial neural network representation of the SABR
stochastic
volatility
model
McGhee, William A.
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012938882
Saved in:
2
Expansion method for pricing foreign exchange options under
stochastic
volatility
and interest rates
Nagami, Kenji
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 29-50
Persistent link: https://www.econbiz.de/10012938885
Saved in:
3
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
5
Pricing multiple barrier derivatives under
stochastic
volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
6
Introducing two mixing fractions to a lognormal local-
stochastic
volatility
model
Lee, Geoffrey
;
Owens, Bowie
;
Zhu, Zili
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 41-58
Persistent link: https://www.econbiz.de/10012543634
Saved in:
7
Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza
;
Haghi, Majid
;
Heryudono, Alfa
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 33-73
Persistent link: https://www.econbiz.de/10012295864
Saved in:
8
An adaptive Filon quadrature for
stochastic
volatility
models
Le Floc'h, Fabien
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
Saved in:
9
Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
Saved in:
10
The forward smile in local-
stochastic
volatility
models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
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