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~subject:"Derivative"
~isPartOf:"International journal of theoretical and applied finance"
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Derivative
Portfolio selection
220
Portfolio-Management
220
Theorie
145
Theory
145
Stochastic process
54
Stochastischer Prozess
54
Option pricing theory
33
Optionspreistheorie
33
Hedging
30
Mathematical programming
27
Mathematische Optimierung
27
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26
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26
Risikomaß
22
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22
CAPM
21
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stochastic control
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19
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Melʹnikov, Aleksandr V.
2
Andersen, Leif B. G.
1
Brigo, Damiano
1
Brodén, Mats
1
Buescu, Cristin
1
Carmona, René
1
Cheang, Gerald H. L.
1
Chekhlov, Alexei
1
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1
Crépey, Stéphane
1
Elouerkhaoui, Youssef
1
Epple, Friedel
1
Grasselli, Matheus
1
Gümbel, Sandrine
1
Halperin, Igor
1
Hess, Markus
1
Hughston, Lane P.
1
Itkin, Andrey
1
Kim, Sung Ik
1
Kim, Young Shin
1
Lipton, Alexander
1
Liu, Qing
1
Makogin, Vitalii
1
Mina, Karl Friedrich
1
Mišura, Julija S.
1
Morgan, Sam
1
Nauta, Bert-Jan
1
Norberg, Ragnar
1
Nosrati, Amir
1
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Schoegl, Lutz
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Tankov, Peter
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Walker, Michael B.
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International journal of theoretical and applied finance
Journal of banking & finance
15
The journal of futures markets
15
European journal of operational research : EJOR
13
Quantitative finance
10
SpringerLink / Bücher
10
Advances in futures and options research : a research annual
9
Bank- und finanzwirtschaftliche Forschungen
9
Energy economics
9
Finance and stochastics
9
Journal of economic dynamics & control
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The European journal of finance
9
The journal of derivatives : JOD
9
Journal of financial and quantitative analysis : JFQA
8
The journal of fixed income
8
Gabler Edition Wissenschaft
7
Economic modelling
6
International journal of financial engineering
6
Journal of risk and financial management : JRFM
6
Springer Texts in Business and Economics
6
The North American journal of economics and finance : a journal of financial economics studies
6
The journal of asset management
6
The journal of finance : the journal of the American Finance Association
6
Applied economics
5
Applied mathematical finance
5
Asia-Pacific financial markets
5
Europäische Hochschulschriften / 5
5
Finance research letters
5
International review of financial analysis
5
Journal of financial economics
5
Journal of mathematical finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Review of derivatives research
5
The Frank J. Fabozzi series
5
The credit derivatives handbook : global perspectives, innovations, and market drivers
5
The journal of computational finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Wiley finance
5
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1
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
2
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
3
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:
4
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:
5
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:
6
Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
Nauta, Bert-Jan
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403233
Saved in:
7
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:
8
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:
9
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:
10
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:
11
Special issue on financial derivatives and risk management
Grasselli, Matheus
(
contributor
); …
-
2011
Persistent link: https://www.econbiz.de/10009562521
Saved in:
12
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
13
Particle methods for the estimation of credit portfolio loss distributions
Carmona, René
;
Crépey, Stéphane
- In:
International journal of theoretical and applied finance
13
(
2010
)
4
,
pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
Saved in:
14
Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B.
- In:
International journal of theoretical and applied finance
12
(
2009
)
5
,
pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
Saved in:
15
A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob
;
Piterbarg, Vladimir
;
Andersen, Leif B. G.
- In:
International journal of theoretical and applied finance
11
(
2008
)
2
,
pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
Saved in:
16
Special issue on credit correlation : life after copulas
Lipton, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003503331
Saved in:
17
Pricing and hedging in a dynamic credit model
Elouerkhaoui, Youssef
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 703-731
Persistent link: https://www.econbiz.de/10003503384
Saved in:
18
Joint distributions of portfolio losses and exotic portfolio products
Epple, Friedel
;
Morgan, Sam
;
Schoegl, Lutz
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 733-748
Persistent link: https://www.econbiz.de/10003503387
Saved in:
19
Drawdown measure in portfolio optimization
Chekhlov, Alexei
;
Uryasev, Stan
;
Zabarankin, Michael
- In:
International journal of theoretical and applied finance
8
(
2005
)
1
,
pp. 13-58
Persistent link: https://www.econbiz.de/10002625151
Saved in:
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