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Stochastic process
103
Stochastischer Prozess
103
Option pricing theory
84
Optionspreistheorie
84
Volatility
49
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The journal of computational finance
European journal of operational research : EJOR
623
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
282
Journal of econometrics
218
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
181
Operations research
164
Operations research letters
164
International journal of production research
162
Quantitative finance
158
Mathematics of operations research
153
Journal of economic dynamics & control
140
Discussion paper / Tinbergen Institute
126
Risks : open access journal
124
International journal of production economics
123
Applied mathematical finance
119
Mathematical finance : an international journal of mathematics, statistics and financial theory
115
Computational economics
107
Economics letters
96
Journal of mathematical finance
89
Management science : journal of the Institute for Operations Research and the Management Sciences
85
Econometric reviews
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Economic modelling
81
Energy economics
81
Transportation research / E : an international journal
81
INFORMS journal on computing : JOC
79
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
79
International journal of financial engineering
78
Annals of operations research
77
Mathematical methods of operations research
77
Computational Management Science : CMS
73
Finance research letters
72
Journal of banking & finance
71
Journal of economic theory
71
Working paper
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Annals of finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
67
Omega : the international journal of management science
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ECONIS (ZBW)
103
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1
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
Saved in:
2
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
3
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
4
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Saved in:
5
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
6
Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Okhrin, Ostap
;
Rockinger, Michael
;
Schmid, Manuel
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 1-52
Persistent link: https://www.econbiz.de/10013549657
Saved in:
7
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
8
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
Saved in:
9
A review of tree-based approaches to solving forward-backward stochastic differential equations
Teng, Long
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 125-159
Persistent link: https://www.econbiz.de/10012873086
Saved in:
10
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
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