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Finance and stochastics
The journal of futures markets
390
Journal of banking & finance
177
International journal of theoretical and applied finance
170
IMF Working Papers
148
Energy economics
121
The journal of finance : the journal of the American Finance Association
81
Applied mathematical finance
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1
Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen
;
Detering, Nils
;
Galimberti, Luca
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 81-121
Persistent link: https://www.econbiz.de/10014447586
Saved in:
2
Additive logistic processes in option pricing
Carr, Peter
;
Torricelli, Lorenzo
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
Saved in:
3
Linear credit risk models
Ackerer, Damien
;
Filipović, Damir
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 169-214
Persistent link: https://www.econbiz.de/10012253344
Saved in:
4
Regime switching affine processes with applications to finance
Beek, Misha van
;
Mandjes, Michel
;
Spreij, Peter
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
Saved in:
5
A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
6
Market completion with derivative securities
Schwarz, Daniel C.
- In:
Finance and stochastics
21
(
2017
)
1
,
pp. 263-284
Persistent link: https://www.econbiz.de/10011944367
Saved in:
7
Computing deltas without derivatives
Baños, D.
;
Meyer-Brandis, T.
;
Proske, Frank
;
Duedahl, S.
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
Saved in:
8
Bounds for VIX futures given S&P 500 smiles
Guyon, Julien
;
Menegaux, Romain
;
Nutz, Marcel
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
Saved in:
9
Counterparty risk and funding : immersion and beyond
Crépey, Stéphane
;
Song, Shiqi
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 901-930
Persistent link: https://www.econbiz.de/10011569906
Saved in:
10
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
11
On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan
;
Krühner, Paul
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
Saved in:
12
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
13
Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
Saved in:
14
Optimal Portfolios in commodity futures markets
Benth, Fred Espen
;
Lempa, Jukka
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
Saved in:
15
Asymptotic and exact pricing of options on variance
Keller-Ressel, Martin
;
Muhle-Karbe, Johannes
- In:
Finance and stochastics
17
(
2013
)
1
,
pp. 107-133
Persistent link: https://www.econbiz.de/10009682289
Saved in:
16
Multilevel dual approach for pricing American style derivates
Belomestny, Denis
;
Schoenmakers, John
;
Dickmann, Fabian
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
Saved in:
17
Mean-variance hedging with oil futures
Wang, Liao
;
Wissel, Johannes Stefan
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 641-683
Persistent link: https://www.econbiz.de/10010190888
Saved in:
18
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger
;
Schmidt, Thorsten
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 105-133
Persistent link: https://www.econbiz.de/10009423247
Saved in:
19
Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 513-540
Persistent link: https://www.econbiz.de/10009303137
Saved in:
20
Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
Saved in:
21
Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole
;
Jiao, Y.
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
Saved in:
22
Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René
;
Fouque, Jean-Pierre
;
Vestal, Douglas
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
Saved in:
23
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong
;
Glasserman, Paul
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
Saved in:
24
Generic market models
Pietersz, Raoul
;
Regenmortel, Marcel van
- In:
Finance and stochastics
10
(
2006
)
4
,
pp. 507-528
Persistent link: https://www.econbiz.de/10003405645
Saved in:
25
A jump to default extended CEV model : an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
Saved in:
26
Local martingales, bubbles and option prices
Cox, Alexander M. G.
;
Hobson, David G.
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
Saved in:
27
A note on the large homogeneous portfolio approximation with the student-t copula
Schlögl, Lutz
;
O'Kane, Dominic
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 577-584
Persistent link: https://www.econbiz.de/10003133291
Saved in:
28
Optimal investment with derivative securities
İlhan, Ayraç
;
Jonsson, Mattias
;
Sircar, Ronnie
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 585-595
Persistent link: https://www.econbiz.de/10003133305
Saved in:
29
Pricing contingent claims with credit risk : asymptotic expansion approach
Muroi, Yoshifumi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 415-427
Persistent link: https://www.econbiz.de/10002946754
Saved in:
30
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano
;
Alfonsi, Aurélien
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
Saved in:
31
Maturity cycles in implied volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, Ronnie
; …
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 451-477
Persistent link: https://www.econbiz.de/10002261414
Saved in:
32
An approximation pricing algrithm in an incomplete market : a differential geometric approach
Gao, Yuan
;
Guan Lim, Kian
;
Hwa Ng, Kah
- In:
Finance and stochastics
8
(
2004
)
4
,
pp. 501-523
Persistent link: https://www.econbiz.de/10002261445
Saved in:
33
Valuation of credit default swaps and swaptions
Jamshidian, Farshid
- In:
Finance and stochastics
8
(
2004
)
3
,
pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
Saved in:
34
A valuation algorithm for indifference prices in incomplete markets
Musiela, Marek
;
Zariphopoulou-Souganidis, Thaleia
- In:
Finance and stochastics
8
(
2004
)
3
,
pp. 399-414
Persistent link: https://www.econbiz.de/10002130322
Saved in:
35
Asymptotic analysis for optimal investment and consumption with transaction costs
Janeček, Karel
;
Shreve, Steven E.
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 181-206
Persistent link: https://www.econbiz.de/10002012481
Saved in:
36
A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
Saved in:
37
Pricing derivatives of American and game type in incomplete markets
Kallsen, Jan
;
Kühn, Christoph
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10002012597
Saved in:
38
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos
;
Jang, Ji-Wook
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 73-95
Persistent link: https://www.econbiz.de/10001724642
Saved in:
39
Optimal investment in derivative securities
Carr, Peter
;
Jin, Xing
;
Madan, Dilip B.
- In:
Finance and stochastics
5
(
2001
)
1
,
pp. 33-59
Persistent link: https://www.econbiz.de/10001553046
Saved in:
40
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
41
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas
;
Rüschendorf, Ludger
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 557-581
Persistent link: https://www.econbiz.de/10001614624
Saved in:
42
Markov-functional interest rate models
Hunt, Phil J.
;
Kennedy, Joanne
;
Pelsser, Antoon André Jean
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
Saved in:
43
A simple regime switching term structure model
Hansen, Asbjørn Trolle
;
Poulsen, Rolf
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 409-429
Persistent link: https://www.econbiz.de/10001539190
Saved in:
44
A note on the forward measure
Davis, Mark
- In:
Finance and stochastics
2
(
1998
)
1
,
pp. 19-28
Persistent link: https://www.econbiz.de/10001230162
Saved in:
45
Robust hedging of the lookback option
Hobson, David G.
- In:
Finance and stochastics
2
(
1998
)
4
,
pp. 329-347
Persistent link: https://www.econbiz.de/10001247137
Saved in:
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