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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Volatility
99
Volatilität
99
Theorie
74
Theory
74
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
49
Stochastischer Prozess
49
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11
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implied volatility
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Schweizer, Martin
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Sircar, Kaushik Ronnie
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Cont, Rama
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Lorig, Matthew
3
Renault, Eric
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Fouque, Jean-Pierre
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2
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Stein, Elias M.
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Touzi, Nizar
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1
Alòs, Elisa
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1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
NBER working paper series
693
Energy economics
646
Working paper / National Bureau of Economic Research, Inc.
646
Finance research letters
633
NBER Working Paper
595
Discussion paper series / IZA
591
MPRA Paper
447
Applied economics
442
International review of financial analysis
426
Journal of banking & finance
397
International review of economics & finance : IREF
388
The journal of futures markets
372
Economic modelling
364
Discussion paper / Centre for Economic Policy Research
361
Working paper
347
IMF Working Papers
333
Journal of econometrics
325
The North American journal of economics and finance : a journal of financial economics studies
325
Economics letters
302
Applied economics letters
293
CESifo working papers
293
Research in international business and finance
290
IZA Discussion Paper
272
Journal of empirical finance
272
Applied financial economics
267
International journal of theoretical and applied finance
245
Journal of international financial markets, institutions & money
245
Discussion paper / Tinbergen Institute
241
Journal of international money and finance
232
Journal of financial economics
210
Journal of risk and financial management : JRFM
207
Quantitative finance
194
IMF Staff Country Reports
186
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
181
Pacific-Basin finance journal
179
Physica A: Statistical Mechanics and its Applications
174
IMF working papers
173
Journal of economic dynamics & control
171
International Journal of Energy Economics and Policy : IJEEP
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
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ECONIS (ZBW)
101
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1
Leveraged ETF implied volatilities from ETF dynamics
Leung, Tim
;
Lorig, Matthew
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1035-1068
Persistent link: https://www.econbiz.de/10011765018
Saved in:
2
Explicit implied volatilities for multifactor local-stochastic
volatility
models
Lorig, Matthew
;
Pagliarani, Stefano
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 926-960
Persistent link: https://www.econbiz.de/10011764989
Saved in:
3
The 4/2 stochastic
volatility
model : a unified approach for the Heston and the 3/2 model
Grasselli, Martino
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1013-1034
Persistent link: https://www.econbiz.de/10011765005
Saved in:
4
Bessel processes, stochastic
volatility
, and timer options
Li, Chenxu
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 122-148
Persistent link: https://www.econbiz.de/10011550172
Saved in:
5
From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
Saved in:
6
Portfolio optimization and stochastic
volatility
asymptotics
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
Saved in:
7
Approximate hedging problem with transaction costs in stochastic
volatility
markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
8
Density of Skew Brownian motion and its functionals with application in finance
Gairat, Alexander
;
Shcherbakov, Vadim
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1069-1088
Persistent link: https://www.econbiz.de/10011765020
Saved in:
9
On the martingale property in stochastic
volatility
models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
10
Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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