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~language:"eng"
~type_genre:"Article in journal"
~subject:"Volatility"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Volatility
Theorie
556
Theory
556
Option pricing theory
255
Optionspreistheorie
255
Portfolio selection
177
Portfolio-Management
177
Stochastic process
115
Stochastischer Prozess
115
Volatilität
99
CAPM
89
Yield curve
69
Zinsstruktur
69
Hedging
65
Incomplete market
65
Unvollkommener Markt
65
Martingal
50
Martingale
50
Option trading
49
Optionsgeschäft
49
Risiko
47
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47
Derivat
44
Derivative
44
Black-Scholes model
40
Black-Scholes-Modell
40
Transaction costs
39
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39
Börsenkurs
30
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30
Arbitrage
29
Credit risk
25
Kreditrisiko
25
Mathematical programming
25
Mathematische Optimierung
25
Risikomaß
25
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25
Control theory
23
Kontrolltheorie
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Article in journal
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99
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1
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1
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English
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Schweizer, Martin
4
Carr, Peter
3
Cont, Rama
3
Lorig, Matthew
3
Renault, Eric
3
Sircar, Kaushik Ronnie
3
Benth, Fred Espen
2
Fouque, Jean-Pierre
2
Glasserman, Paul
2
Gulisashvili, Archil
2
Hobson, David G.
2
Jamshidian, Farshid
2
Jeanblanc, Monique
2
Kallsen, Jan
2
Linetsky, Vadim
2
Pascucci, Andrea
2
Platen, Eckhard
2
Rogers, Leonard C. G.
2
Stein, Elias M.
2
Touzi, Nizar
2
Alvarez, Luis H. R.
1
Alòs, Elisa
1
Barndorff-Nielsen, Ole E.
1
Barucci, Emilio
1
Benaim, S.
1
Bernard, Carole
1
Biagini, Francesca
1
Campolieti, Giuseppe
1
Carverhill, Andrew
1
Chang, Eric Chieh
1
Chen, Nan
1
Chen, Zhanyu
1
Cheng Ouyang
1
Cheng, Peng
1
Chesney, Marc
1
Chevalier, Etienne
1
Choi, Jaehyuk
1
Comte, Fabienne
1
Corielli, Francesco
1
Corlay, Sylvain
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Energy economics
598
Finance research letters
491
International review of financial analysis
398
Journal of banking & finance
375
Applied economics
372
The journal of futures markets
344
Economic modelling
338
International review of economics & finance : IREF
338
The North American journal of economics and finance : a journal of financial economics studies
324
Journal of econometrics
320
Applied financial economics
265
Journal of empirical finance
260
Applied economics letters
257
Research in international business and finance
255
Economics letters
245
International journal of theoretical and applied finance
245
Journal of international financial markets, institutions & money
235
Journal of international money and finance
221
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
Quantitative finance
183
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
The European journal of finance
150
Journal of economic dynamics & control
145
International journal of forecasting
140
International journal of finance & economics : IJFE
136
Journal of forecasting
128
The review of financial studies
125
The journal of finance : the journal of the American Finance Association
116
Applied mathematical finance
115
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
111
Journal of financial econometrics : official journal of the Society for Financial Econometrics
110
Computational economics
105
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
104
Global finance journal
103
Journal of financial and quantitative analysis : JFQA
103
Review of quantitative finance and accounting
103
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1
Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre
;
Sircar, Kaushik Ronnie
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
Saved in:
2
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
3
Explicit implied volatilities for multifactor local-stochastic volatility models
Lorig, Matthew
;
Pagliarani, Stefano
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 926-960
Persistent link: https://www.econbiz.de/10011764989
Saved in:
4
The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model
Grasselli, Martino
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1013-1034
Persistent link: https://www.econbiz.de/10011765005
Saved in:
5
Leveraged ETF implied volatilities from ETF dynamics
Leung, Tim
;
Lorig, Matthew
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1035-1068
Persistent link: https://www.econbiz.de/10011765018
Saved in:
6
Density of Skew Brownian motion and its functionals with application in finance
Gairat, Alexander
;
Shcherbakov, Vadim
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1069-1088
Persistent link: https://www.econbiz.de/10011765020
Saved in:
7
Local variance gamma and explicit calibration to option prices
Carr, Peter
;
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 151-193
Persistent link: https://www.econbiz.de/10011739451
Saved in:
8
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
9
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
Saved in:
10
High-order short-time expansions for ATM option prices of exponential Lévy models
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 516-557
Persistent link: https://www.econbiz.de/10011583594
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