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Derivat
Theorie
73
Theory
73
Portfolio selection
72
Portfolio-Management
72
Stochastic process
39
Stochastischer Prozess
39
Option pricing theory
33
Optionspreistheorie
33
Volatility
32
Volatilität
32
Derivative
22
Correlation
18
Expected utility
18
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18
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17
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15
Anlageverhalten
14
Behavioural finance
14
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13
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13
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13
Kreditrisiko
13
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Risikomaß
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13
Risikoaversion
12
Risk aversion
12
Markov chain
11
Markov-Kette
11
Mathematical programming
11
Mathematische Optimierung
11
Option trading
11
Optionsgeschäft
11
Risiko
11
Risk
11
Capital income
10
Kapitaleinkommen
10
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10
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9
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English
21
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Escobar, Marcos
14
Zagst, Rudi
13
Ferrando, Sebastian
3
Götz, Barbara
3
Rubtsov, Alexey
3
Scherer, Matthias
3
Brunner, Bernhard
2
Glau, Kathrin
2
Grbac, Zorana
2
Krayzler, Mikhail
2
Neykova, Daniela
2
Panz, Sven
2
Rauch, Johannes
2
Schlösser, Anna
2
Alvarez, Alexander
1
Davison, Matt
1
Hieber, Peter
1
Huber, Michael
1
Lin, Fang
1
Menzinger, Barbara
1
Molter, Eric
1
Olivares, Pablo
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Rastegari, Javad
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Schmid, Bernd
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Conference Innovations in Derivatives Markets - Fixed Income Modelling, Valuation Adjustments, Risk Management, and Regulation <2015, Garching-Hochbrück>
2
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Journal of banking & finance
2
The journal of computational finance
2
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Annals of finance
1
Applied mathematical finance
1
Decisions in economics and finance : a journal of applied mathematics
1
Finance research letters
1
International journal of financial markets and derivatives
1
International journal of theoretical and applied finance
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of risk management in financial institutions
1
Review of derivatives research
1
Risks : open access journal
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ECONIS (ZBW)
22
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1
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
2
The power of derivatives in portfolio optimization under affine GARCH models
Escobar, Marcos
;
Molter, Eric
;
Zagst, Rudi
- In:
Decisions in economics and finance : a journal of …
47
(
2024
)
1
,
pp. 151-181
Persistent link: https://www.econbiz.de/10015044791
Saved in:
3
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
Saved in:
4
Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos
;
Lin, Fang
- In:
Finance research letters
35
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
Saved in:
5
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
6
Derivatives-based portfolio decisions : an expected utility insight
Escobar, Marcos
;
Davison, Matt
;
Zhu, Yichen
- In:
Annals of finance
18
(
2022
)
2
,
pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
Saved in:
7
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Saved in:
8
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Saved in:
9
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:
10
A Three-factor defaultable term structure model
Schmid, Bernd
;
Zagst, Rudi
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
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