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~isPartOf:"International journal of theoretical and applied finance"
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Volatility
245
Volatilität
245
Option pricing theory
156
Optionspreistheorie
156
Stochastic process
135
Stochastischer Prozess
135
Theorie
76
Theory
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Black-Scholes model
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Black-Scholes-Modell
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Derivat
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stochastic volatility
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option pricing
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Monte Carlo simulation
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implied volatility
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Benth, Fred Espen
6
Brigo, Damiano
5
Takahashi, Akihiko
5
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Chiarella, Carl
3
Forde, Martin
3
Fouque, Jean-Pierre
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Gatheral, Jim
3
Grzelak, Lech A.
3
Liu, Rui Hua
3
Oosterlee, Cornelis W.
3
Radoičić, Radoš
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Schoutens, Wim
3
Stoep, Anthonie W. van der
3
Vives, Josep
3
Zubelli, Jorge P.
3
Ahlip, Rehez
2
Alòs, Elisa
2
Antonelli, Fabio
2
Avellaneda, Marco
2
Bianchi, Michele Leonardo
2
Boyarchenko, Mitya
2
Carr, Peter
2
Cui, Zhenyu
2
Ekström, Erik
2
Fabozzi, Frank J.
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Fukasawa, Masaaki
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Funahashi, Hideharu
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Grasselli, Martino
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Gulisashvili, Archil
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Hok, Julien
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Kwok, Yue-Kuen
2
Levendorskij, Sergej Z.
2
Macrina, Andrea
2
McWalter, Thomas A.
2
Mercurio, Fabio
2
Merino, Raúl
2
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International journal of theoretical and applied finance
Energy economics
598
Finance research letters
491
NBER working paper series
484
Working paper / National Bureau of Economic Research, Inc.
468
NBER Working Paper
417
International review of financial analysis
398
Journal of banking & finance
374
Applied economics
372
The journal of futures markets
354
International review of economics & finance : IREF
338
Economic modelling
337
The North American journal of economics and finance : a journal of financial economics studies
324
Journal of econometrics
321
Applied financial economics
265
Journal of empirical finance
260
Applied economics letters
257
Research in international business and finance
253
Working paper
250
Economics letters
247
Discussion paper / Centre for Economic Policy Research
244
Journal of international financial markets, institutions & money
235
Journal of international money and finance
221
Discussion paper / Tinbergen Institute
199
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
Quantitative finance
183
CESifo working papers
172
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
169
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
157
The European journal of finance
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
147
Journal of economic dynamics & control
145
International journal of forecasting
140
International journal of finance & economics : IJFE
136
Journal of forecasting
128
The review of financial studies
125
Research paper series / Swiss Finance Institute
118
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ECONIS (ZBW)
245
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1
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
2
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
3
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
4
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
5
Decomposition formula for rough Volterra stochastic volatility models
Merino, Raúl
;
Pospíšil, Jan
;
Sobotka, Tomáš
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-47
Persistent link: https://www.econbiz.de/10012650356
Saved in:
6
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
7
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
8
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
9
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
10
A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
Grishchenko, Olesya
;
Han, Xiao
;
Nistor, Victor
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012271002
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