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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
128
International journal of theoretical and applied finance
65
Journal of banking & finance
61
Advances in futures and options research : a research annual
33
Journal of financial and quantitative analysis : JFQA
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The journal of finance : the journal of the American Finance Association
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Finance and stochastics
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The review of financial studies
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NBER working paper series
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The journal of fixed income
19
International review of financial analysis
18
Review of derivatives research
18
The journal of credit risk : published quarterly by Incisive Media
18
Working paper / National Bureau of Economic Research, Inc.
18
The European journal of finance
17
European journal of operational research : EJOR
16
Gabler Edition Wissenschaft
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International review of economics & finance : IREF
16
Economic notes : economic review of Banca Monte dei Paschi di Siena
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Europäische Hochschulschriften / 5
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Finance : revue de l'Association Française de Finance
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Finance research letters
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Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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ECONIS (ZBW)
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1
Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien
;
Labart, Celine
;
Lelong, Jerome
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 366-394
Persistent link: https://www.econbiz.de/10011577160
Saved in:
2
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
3
Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
Saved in:
4
The effect of trading futures on short sale constraints
Jarrow, Robert A.
;
Protter, Philip E.
;
Pulido, Sergio
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 311-338
Persistent link: https://www.econbiz.de/10011350630
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5
Bilateral counterparty risk under funding constraints - part II : CVA
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 23-50
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6
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
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7
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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8
Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo
;
Pagnoncelli, Bernardo K.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 110-118
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9
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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10
Implied ICA : factor extraction and multiasset derivative pricing
Kumiega, Andrew
;
Neururer, Thaddeus
;
Van Vliet, Benjamin
- In:
The journal of derivatives : the official publication …
19
(
2012
)
4
,
pp. 39-52
Persistent link: https://www.econbiz.de/10009671738
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11
Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
Goldammer, Verena
;
Schmock, Uwe
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 185-213
Persistent link: https://www.econbiz.de/10009554684
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12
On the Dybvig-Ingersoll-Ross theorem
Kardaras, Constantinos
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 729-740
Persistent link: https://www.econbiz.de/10009614938
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13
A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
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14
Optimal liquidation of derivative portfolios
Henderson, Vicky
;
Hobson, David G.
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10009155206
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15
Meteorological forecasts and the pricing of temperature futures
Ritter, Matthias
;
Mußhoff, Oliver
;
Odening, Martin
- In:
The journal of derivatives : the official publication …
19
(
2011
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10009413613
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16
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
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17
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
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18
The bino-trinomial tree : a simple model for efficient and accurate option pricing
Dai, Tian-shyr
;
Lyuu, Yuh-dauh
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003985505
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19
Asset price bubbles in incomplete markets
Jarrow, Robert A.
;
Protter, Philip E.
;
Shimbo, Kazuhiro
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 145-185
Persistent link: https://www.econbiz.de/10003955702
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20
Trivariate support of flat-volatility forward libor rates
Jamshidian, Farshid
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 229-258
Persistent link: https://www.econbiz.de/10003955734
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21
Pricing and hedging of derivatives based on nontradable underlyings
Ankirchner, Stefan
;
Imkeller, Peter
;
Reis, Gonçalo dos
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 289-312
Persistent link: https://www.econbiz.de/10003955743
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22
A simplified approach to approximate diffusion processes widely used in finance
Costabile, Massimo
;
Massabó, Ivar
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 65-85
Persistent link: https://www.econbiz.de/10003961022
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23
Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole
;
Ravanelli, Claudia
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
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24
Variance reduction for multivariate Monte Carlo simulation
Wang, Jr-yan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 7-28
Persistent link: https://www.econbiz.de/10003771438
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25
Pricing and hedging volatility derivatives
Broadie, Mark
;
Jain, Ashish
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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26
On the timing option in a future contract
Biagini, Francesca
;
Björk, Tomas
- In:
Mathematical finance : an international journal of …
17
(
2007
)
2
,
pp. 267-283
Persistent link: https://www.econbiz.de/10003543130
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27
Valuing credit derivatives using an implied copula approach
Hull, John
;
White, Alan D.
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 8-28
Persistent link: https://www.econbiz.de/10003400047
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28
On pricing derivatives in the presence of auxiliary state variables
Lin, Junze
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003400049
Saved in:
29
Evaluating hedging errors : an asymptotic approach
Hayashi, Takaki
;
Mykland, Per A.
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 309-343
Persistent link: https://www.econbiz.de/10002725490
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30
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
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31
Default correlation dynamics with business cyle and credit quality changes
Kim, Mi Ae
;
Kim, Tong Suk
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 8-27
Persistent link: https://www.econbiz.de/10003159462
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32
Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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33
Fundamental theorems of asset pricing for good deal bounds
Staum, Jeremy
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 141-161
Persistent link: https://www.econbiz.de/10002032681
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34
Dynamic minimization of worst conditional expectation of shortfall
Sekine, Jun
- In:
Mathematical finance : an international journal of …
14
(
2004
)
4
,
pp. 605-618
Persistent link: https://www.econbiz.de/10002396403
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35
No-arbitrage approach to pricing credit spread derivatives
Chu, Chi Chiu
;
Kwok, Yue-Kuen
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 51-64
Persistent link: https://www.econbiz.de/10001770080
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36
Exponential hedging and entropic penalties
Delbaen, Freddy
(
contributor
)
- In:
Mathematical finance : an international journal of …
12
(
2002
)
2
,
pp. 99-123
Persistent link: https://www.econbiz.de/10001686219
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37
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
Kabanov, Jurij M.
;
Stricker, Christophe
- In:
Mathematical finance : an international journal of …
12
(
2002
)
2
,
pp. 125-134
Persistent link: https://www.econbiz.de/10001686231
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38
Pricing of new securities in an incomplete market : the catch 22 of no-arbitrage pricing
Boyle, Phelim P.
;
Wang, Tan
- In:
Mathematical finance : an international journal of …
11
(
2001
)
3
,
pp. 267-284
Persistent link: https://www.econbiz.de/10001651136
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39
Estimation and hedging with a one-factor Heath-Jarrow-Morton model
Ho, Lan-chih
;
Cadle, John
;
Theobald, Michael
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 49-61
Persistent link: https://www.econbiz.de/10001613583
Saved in:
40
Recent advances in default swap valuation
Cheng, Wai-yan
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Saved in:
41
Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
Saved in:
42
Value at risk for derivatives
Jahel, Lina el
;
Perraudin, William R. M.
;
Sellin, Peter
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 7-26
Persistent link: https://www.econbiz.de/10001432480
Saved in:
43
Stress testing in a value at risk framework
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
6
(
1998
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10001248811
Saved in:
44
Is there a term structure of futures volatilities? : Reevaluating the Samuelson hypothesis
Bessembinder, Hendrik
;
Coughenour, Jay F.
;
Seguin, Paul John
- In:
The journal of derivatives : the official publication …
4
(
1996
)
2
,
pp. 45-58
Persistent link: https://www.econbiz.de/10001214072
Saved in:
45
A new strategy for dynamically hedging mortage-backed securities
Boudoukh, Jacob
;
Richardson, Matthew
;
Stanton, Richard
; …
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 60-77
Persistent link: https://www.econbiz.de/10001223167
Saved in:
46
Option pricing when jump risk is systematic
Ahn, Chang-mo
- In:
Mathematical finance : an international journal of …
2
(
1992
)
4
,
pp. 299-308
Persistent link: https://www.econbiz.de/10001143966
Saved in:
47
Pricing options with curved boundaries
Kunitomo, Naoto
- In:
Mathematical finance : an international journal of …
2
(
1992
)
4
,
pp. 275-298
Persistent link: https://www.econbiz.de/10001143968
Saved in:
48
Pricing options on risky assets in a stochastic interest rate economy
Amin, Kaushik I.
- In:
Mathematical finance : an international journal of …
2
(
1992
)
4
,
pp. 217-237
Persistent link: https://www.econbiz.de/10001143979
Saved in:
49
Pricing the quality option in treasury bond futures
Ritchken, Peter H.
- In:
Mathematical finance : an international journal of …
2
(
1992
)
3
,
pp. 197-214
Persistent link: https://www.econbiz.de/10001143990
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