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Hedging
115
Option pricing theory
62
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62
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55
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34
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34
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30
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Arai, Takuji
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Hess, Markus
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Bielecki, Tomasz R.
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Crépey, S.
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International journal of theoretical and applied finance
The journal of futures markets
328
IMF Working Papers
161
Energy economics
117
Journal of banking & finance
113
Finance research letters
98
International review of financial analysis
79
Finance and stochastics
73
International review of economics & finance : IREF
73
IMF Staff Country Reports
71
Insurance / Mathematics & economics
68
Mathematical finance : an international journal of mathematics, statistics and financial theory
65
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64
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62
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55
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55
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54
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51
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50
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47
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46
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45
The journal of derivatives : the official publication of the International Association of Financial Engineers
45
The European journal of finance
44
NBER Working Paper
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41
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Journal of international financial markets, institutions & money
38
Research in international business and finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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American journal of agricultural economics
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Journal of risk and financial management : JRFM
33
Swiss Finance Institute Research Paper
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ECONIS (ZBW)
115
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1
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
2
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:
3
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Saved in:
4
A note on utility indifference pricing
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
Saved in:
5
CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar
;
Subbotin, Alexander
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
Saved in:
6
Conditional Asian options
Feng, Runhuan
;
Volkmer, Hans W.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
Saved in:
7
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
8
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
Saved in:
9
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
10
Dynamic mean-variance optimization problems with deterministic information
Schweizer, Martin
;
Zivoi, Danijel
;
Ṥikić, Mario
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011854586
Saved in:
11
Conditional-mean hedging under transaction costs in Gaussian models
Sottinen, Tommi
;
Viitasaari, Lauri
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011854596
Saved in:
12
Portfolio optimization under a quantile hedging constraint
Bouveret, Géraldine
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011956927
Saved in:
13
Pricing index options by static hedging under finite liquidity
Armstrong, John
;
Pennanen, Teemu
;
Rakwongwan, Udomsak
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
Saved in:
14
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
Saved in:
15
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Christodoulou, Panagiotis
;
Detering, Nils
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
Saved in:
16
Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.
;
Pham, Duy
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-51
Persistent link: https://www.econbiz.de/10009783994
Saved in:
17
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
18
On the numerical aspects of optimal option hedging with transaction costs
Josephy, Norman H.
;
Kimball, Lucia
;
Steblovskaya, Victoria
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011686780
Saved in:
19
On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii
;
Melʹnikov, Aleksandr V.
;
Mišura, …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734050
Saved in:
20
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
21
Numerical hedging of electricity contracts using dimension reduction
Hepperger, Peter
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009672594
Saved in:
22
An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven
;
Ahcan, Ales
;
Henrard, Luc
;
Maj, Mateusz
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
Saved in:
23
Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009685882
Saved in:
24
The term structure of currency hedge ratios
Korn, Olaf
;
Koziol, Philipp
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 525-557
Persistent link: https://www.econbiz.de/10009269361
Saved in:
25
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
26
On robustness of the black-scholes partial differential equation model
Mastinsek, Miklavz
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011455391
Saved in:
27
Simplified hedge for path-dependent derivatives
Bernard, Carole
;
Tang, Junsen
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011568749
Saved in:
28
Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
Saved in:
29
Profitability of a simple pairs trading strategy : recent evidences from a global context
Miao, Jia
;
Laws, Jason
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011523891
Saved in:
30
Efficient hedging of path-dependent options
Kolkiewicz, Adam W.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011525107
Saved in:
31
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
32
Approximate hedging of options under jump-diffusion processes
Mina, Karl Friedrich
;
Cheang, Gerald H. L.
;
Chiarella, Carl
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
Saved in:
33
Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier
;
Momeya, Romuald
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
Saved in:
34
Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.
;
Nosrati, Amir
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
Saved in:
35
Fair bilateral prices in Bergman’s model with exogenous collateralization
Nie, Tianyang
;
Rutkowski, Marek
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011404379
Saved in:
36
Optimality of payoffs in Lévy models
Hammerstein, Ernst August v.
;
Lütkebohmert-Holtz, Eva
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-46
Persistent link: https://www.econbiz.de/10010438495
Saved in:
37
Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
Saved in:
38
Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan
;
Pigorsch, Christian
;
Schweizer, Nikolaus
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498866
Saved in:
39
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
Saved in:
40
Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor
;
Itkin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
Saved in:
41
Target volatility option pricing
Di Graziano, Giuseppe
;
Torricelli, Lorenzo
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10009562145
Saved in:
42
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
43
Performance of robust hedges for digital double barrier options
ObŁój, Jan
;
Ulmer, Frédérik
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009562153
Saved in:
44
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
45
A quadratic hedging approach to comparison of catastrophe indices
Norberg, Ragnar
;
Savina, Oksana
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624461
Saved in:
46
Consistent factor models for temperature markets
Hell, Philipp
;
Meyer-Brandis, Thilo
;
Rheinländer, Thorsten
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009624466
Saved in:
47
Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz
;
Uzunashvili, T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
Saved in:
48
Special issue on financial derivatives and risk management
Grasselli, Matheus
(
contributor
); …
-
2011
Persistent link: https://www.econbiz.de/10009562521
Saved in:
49
Semi-static hedging of barrier options under poisson jumps
Carr, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
Saved in:
50
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
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