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~isPartOf:"International journal of financial engineering"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Volatility
66
Volatilität
66
Option pricing theory
48
Optionspreistheorie
48
Stochastic process
35
Black-Scholes model
14
Black-Scholes-Modell
14
Option trading
13
Optionsgeschäft
13
Derivat
12
Derivative
12
Börsenkurs
10
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10
Theorie
9
Theory
9
Estimation
8
Schätzung
8
Aktienmarkt
7
Portfolio selection
7
Portfolio-Management
7
Statistical distribution
7
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7
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7
ARCH model
6
ARCH-Modell
6
Capital income
6
Estimation theory
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Experiment
6
Kapitaleinkommen
6
Schätztheorie
6
CAPM
5
Implied volatility
5
India
5
Indien
5
Markov chain
5
Markov-Kette
5
stochastic volatility
5
Aktienindex
4
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4
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English
35
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Ahlip, Rehez
2
Cui, Zhenyu
2
Park, Laurence A. F.
2
Prodan, Ante
2
Aghili, A.
1
Arai, Takuji
1
Barger, Weston
1
Bhar, Ramaprasad
1
Bottasso, Anna
1
Brigo, Damiano
1
Cao, Hongkai
1
Chan, Leunglung
1
Chatterjee, Rupak
1
Dastranj, Elham
1
Dowd, Kevin
1
Ellersgaard, Simon
1
Engelmann, Bernd
1
Fan, Yulian
1
Florescu, Ionuţ
1
Funahashi, Hideharu
1
Fusaro, Michelangelo
1
Giribone, Pier Giuseppe
1
Graceffa, Federico
1
Guo, Shimin
1
Habtemicael, Semere
1
Kao, Chunyu
1
Koster, Frank
1
Kwok, Yue-Kuen
1
Kılıçman, Adem
1
Latifi, Roghaye
1
Lee, Damien
1
Li, Thomas Nanfeng
1
Li, Yu
1
Liu, David
1
Liu, Jianguo
1
Lorig, Matthew
1
Ma, Changfu
1
Magdziarz, Marcin
1
Mehrdoust, Farshid
1
Mi, Yanhui
1
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International journal of financial engineering
International journal of theoretical and applied finance
137
Journal of econometrics
106
Quantitative finance
89
Applied mathematical finance
63
Discussion paper / Tinbergen Institute
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
European journal of operational research : EJOR
56
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Journal of economic dynamics & control
48
Finance and stochastics
47
Econometric reviews
45
Finance research letters
40
Journal of mathematical finance
38
Journal of banking & finance
36
Working paper
36
Insurance / Mathematics & economics
35
Energy economics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
32
Annals of finance
31
Risks : open access journal
31
Journal of empirical finance
30
Research paper series / Swiss Finance Institute
29
Economics letters
27
Review of derivatives research
26
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Applied economics
22
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Economic modelling
20
Econometrics : open access journal
18
Journal of financial economics
18
NBER working paper series
18
The European journal of finance
18
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ECONIS (ZBW)
35
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1
Revisiting variance gamma pricing : an application to S&P500 index options
Mozumder, Sharif
;
Sorwar, Ghulam
;
Dowd, Kevin
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
Saved in:
2
A sharp approximation for ATM-forward option
prices
and implied volatilites
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
Saved in:
3
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Shokrollahi, Foad
;
Kılıçman, Adem
;
Magdziarz, Marcin
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011532750
Saved in:
4
Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa
;
Yuan, George
;
Guo, Shimin
;
Liu, Jianguo
; …
- In:
International journal of financial engineering
2
(
2015
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
Saved in:
5
Calibration of the Heston stochastic local
volatility
model : a finite volume scheme
Engelmann, Bernd
;
Koster, Frank
;
Oeltz, Daniel
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
Saved in:
6
Empirical performance of stochastic
volatility
option pricing models
Stilger, Przemyslaw S.
;
Ngoc Quynh Anh Nguyen
;
Tri Minh …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
Saved in:
7
Forward start options under Heston affine jump-diffusions and stochastic interest rate
Ahlip, Rehez
;
Park, Laurence A. F.
;
Prodan, Ante
; …
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012654786
Saved in:
8
Occupation times of Lévy processes
Wu, Lan
;
Zhang, Xiao
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
Saved in:
9
Willow tree algorithms for pricing VIX derivatives under stochastic
volatility
models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
10
A time consistent derivative strategy
Mudzimbabwe, Walter
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012602691
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