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Journal of financial and quantitative analysis : JFQA
International journal of financial engineering
International journal of theoretical and applied finance
467
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of futures markets
253
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251
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240
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ECONIS (ZBW)
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1
Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar
;
Zhang, Hailiang
;
Kanwal, Samra
; …
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
Saved in:
2
The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian
;
Liu, Yuguo
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
6
,
pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
Saved in:
3
Pricing options on a mean-reverting asset by the analytical operator splitting method
Lo, C. F.
;
He, Y. W.
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10013367498
Saved in:
4
Exchange option valuation using Liu process
Purohit, Seema Uday
;
Lalit, Prasad Narahar
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10013367504
Saved in:
5
Optimal exercise frontier of Bermudan options by simulation methods
Xie, Dejun
;
Edwards, David A.
;
Wu, Xiaoxia
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250013-1-2250013-20
Persistent link: https://www.econbiz.de/10013367611
Saved in:
6
Symbolic regression-based adaptive generation of implied volatility
Yen, Joseph
;
Qi, Yuan Yuan
;
Wong, Seng Fat
;
Zhou, Jiantao
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250018-1-2250018-27
Persistent link: https://www.econbiz.de/10013367616
Saved in:
7
Explicit caplet implied volatilities for quadratic term-structure models
Lorig, Matthew
;
Suaysom, Natchanon
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014521323
Saved in:
8
Analytical and numerical solutions for a special nonlinear equation
Fard, Hossein Sahebi
;
Dastranj, Elham
;
Hejazi, Reza
; …
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014521393
Saved in:
9
Managing the risk of embedded options in non-traded credit using portfolio modeling
Engelmann, Bernd
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014444472
Saved in:
10
Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
Saved in:
11
Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
Saved in:
12
The binomial option pricing model : the trouble with dividends
Tian, Yisong Sam
- In:
International journal of financial engineering
10
(
2023
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014444726
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13
A meshless multiquadric quasi-interpolation method for time fractional Black-Scholes model
Pan, Gaoyongqi
;
Zhang, Shengliang
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014304284
Saved in:
14
Moment risk premia and stock return predictability
Fan, Zhenzhen
;
Xiao, Xiao
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
1
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012805776
Saved in:
15
Maturity driven mispricing of options
Eisdorfer, Assaf
;
Sadka, Ronnie
;
Zhdanov, Alexei
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
2
,
pp. 514-542
Persistent link: https://www.econbiz.de/10012805807
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16
Does corporate investment respond to the time-varying cost of capital? : empirical evidence
Kim, Yongjin
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
2
,
pp. 629-668
Persistent link: https://www.econbiz.de/10012805831
Saved in:
17
An American call is worth more than a European call : the value of American exercise when the market is not perfectly liquid
Figlewski, Stephen
- In:
Journal of financial and quantitative analysis : JFQA
57
(
2022
)
3
,
pp. 1023-1057
Persistent link: https://www.econbiz.de/10013187327
Saved in:
18
Estimating actual probability of default from structural models
Zou, Lin
;
Li, Weiping
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10013188686
Saved in:
19
Optimal timing of investments modeled as perpetual American options in a Levy market
Adinya, Ini
;
Ekhaguere, G. O. S.
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10013188768
Saved in:
20
European option pricing using Gumbel distribution
Purohit, Seema Uday
;
Lalit, Prasad Narahar
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013188781
Saved in:
21
Data-driven option pricing using single and multi-asset supervised learning
Goswami, Anindya
;
Rajani, Sharan
;
Tanksale, Atharva
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012662235
Saved in:
22
Fast generation of implied volatility surface : optimize the traditional numerical analysis and machine learning
Yen, Jerome
;
Chen, Bangren
;
Wu, KangZahng
;
Yen, Joseph
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012662246
Saved in:
23
Double barrier American put option pricing under uncertain volatility model
Zaineb, El Kharrazi
;
Sahar, Saoud
;
Zouhir, Mahani
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012662317
Saved in:
24
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
Saved in:
25
Liquidity-free implied volatilities : an approach using conic finance
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012815112
Saved in:
26
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra
;
SenGupta, Indranil
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
Saved in:
27
Properties of Indian stock market : evidence using strap option strategy
Bangur, P.
;
Singh, M. Kumar
;
Singh, P. Kumar
;
Bangur, R.
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012815121
Saved in:
28
Informed trading in the stock market and option-price discovery
Collin-Dufresne, Pierre
;
Fos, Vyacheslav
;
Muravyev, Dmitry
- In:
Journal of financial and quantitative analysis : JFQA
56
(
2021
)
6
,
pp. 1945-1984
Persistent link: https://www.econbiz.de/10012618498
Saved in:
29
Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd
;
Koster, Frank
;
Oeltz, Daniel
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
Saved in:
30
Empirical performance of stochastic volatility option pricing models
Stilger, Przemyslaw S.
;
Ngoc Quynh Anh Nguyen
;
Tri Minh …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
Saved in:
31
Forward start options under Heston affine jump-diffusions and stochastic interest rate
Ahlip, Rehez
;
Park, Laurence A. F.
;
Prodan, Ante
; …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012654786
Saved in:
32
Occupation times of Lévy processes
Wu, Lan
;
Zhang, Xiao
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
Saved in:
33
Basel regulatory capital formula revised
Yang, Yimin
;
Wu, Min
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012655060
Saved in:
34
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
35
A time consistent derivative strategy
Mudzimbabwe, Walter
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
Saved in:
36
Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili
;
Shen, Jiaqi
;
Zhao, Liheng
;
Qin, Haoyang
; …
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
Saved in:
37
An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu
;
Yamada, Toshihiro
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
Saved in:
38
The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options
Lin, Tyrone T.
;
Yen, Hui-Tzu
;
Hsu, Shu-Yen
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012602947
Saved in:
39
Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model
Hajizadeh, Ehsan
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012603039
Saved in:
40
Pricing kernel factorization and recovery theorem
Diffouo, Pauline M. Ngugnie
;
Noupoue, Yves Y. Yameni
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012603067
Saved in:
41
A Hilbert transform approach for controlled jump-diffusions with financial applications
Ge, Yingming
;
Li, Lingfei
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012603237
Saved in:
42
Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
43
On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Saved in:
44
A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
Saved in:
45
A tractable framework for option pricing with dynamic market maker inventory and wealth
Fournier, Mathieu
;
Jacobs, Kris
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
4
,
pp. 1117-1162
Persistent link: https://www.econbiz.de/10012244210
Saved in:
46
Volatility and expected option returns
Hu, Guanglian
;
Jacobs, Kris
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 1025-1060
Persistent link: https://www.econbiz.de/10012195631
Saved in:
47
Good volatility, bad volatility, and option pricing
Feunou, Bruno
;
Okou, Cédric
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
Saved in:
48
Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
Kale, Jivendra K.
;
Lim, Tee
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012028870
Saved in:
49
Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
50
Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Mehrdoust, Farshid
;
Noorani, Idin
- In:
International journal of financial engineering
6
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012167493
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