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~isPartOf:"The journal of computational finance"
~subject:"Optionspreistheorie"
~subject:"Portfolio selection"
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Optionspreistheorie
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Derivat
43
Derivative
43
Option pricing theory
32
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14
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14
Stochastic process
12
Stochastischer Prozess
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Crépey, Stéphane
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The journal of computational finance
International journal of theoretical and applied finance
111
Applied mathematical finance
64
Quantitative finance
48
The journal of futures markets
48
Review of derivatives research
47
Journal of banking & finance
44
European journal of operational research : EJOR
39
Journal of mathematical finance
32
Energy economics
31
SpringerLink / Bücher
30
Finance and stochastics
29
Mathematical finance : an international journal of mathematics, statistics and financial theory
28
International journal of financial engineering
26
The European journal of finance
26
Journal of economic dynamics & control
25
Finance research letters
24
Risks : open access journal
23
The journal of derivatives : the official publication of the International Association of Financial Engineers
23
The North American journal of economics and finance : a journal of financial economics studies
22
The journal of derivatives : JOD
22
International review of financial analysis
21
Finanzmarkt und Portfolio-Management
20
Research paper series / Swiss Finance Institute
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Bank- und finanzwirtschaftliche Forschungen
19
Computational economics
19
International review of economics & finance : IREF
17
Insurance / Mathematics & economics
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Annals of finance
15
Applied economics letters
15
Journal of econometrics
15
Applied economics
14
Wiley finance series
14
Gabler Edition Wissenschaft
13
Journal of risk and financial management : JRFM
13
SFB 649 discussion paper
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Economic modelling
12
Journal of financial and quantitative analysis : JFQA
12
Journal of financial economics
12
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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1
Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina
;
Reisinger, Christoph
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
Saved in:
2
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
Saved in:
3
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
4
Pricing of spread options on stochastically correlated underlyings
Escobar, Marcos
;
Götz, Barbara
;
Seco, Luis
;
Zagst, Rudi
- In:
The journal of computational finance
12
(
2009
)
3
,
pp. 31-61
Persistent link: https://www.econbiz.de/10009534616
Saved in:
5
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias
;
Halperin, Igor
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
Saved in:
6
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
7
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
8
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Dang, Duy Minh
;
Christara, Christina C.
;
Jackson, Kenneth R.
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 39-93
Persistent link: https://www.econbiz.de/10011441260
Saved in:
9
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
10
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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