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~subject:"Option pricing theory"
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Option pricing theory
Theorie
27
Theory
27
Optionspreistheorie
21
Credit risk
18
Kreditrisiko
16
Hedging
12
Derivat
10
Derivative
10
Yield curve
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Zinsstruktur
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Stochastic process
8
Stochastischer Prozess
8
Collateral
7
Kreditsicherung
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Swap
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Volatility
7
Volatilität
7
Risikomanagement
6
Risk management
5
CAPM
4
Interest rate derivative
4
Option trading
4
Optionsgeschäft
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Portfolio selection
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Portfolio-Management
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Zinsderivat
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BSDE
3
Credit derivative
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Currency derivative
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Heston's model
3
Interest rate
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Kreditderivat
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Kreditgeschäft
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Markov chain
3
Markov-Kette
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Martingal
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11
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10
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1
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1
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English
19
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Rutkowski, Marek
19
Bielecki, Tomasz R.
3
Brigo, Damiano
3
Ahlip, Rehez
2
Buescu, Cristin
2
Jeanblanc, Monique
2
Musiela, Marek
2
Ahlip, Rehez Ajmal
1
Armstrong, Anthony
1
Bickersteth, Matthew
1
Buescu, C.
1
Crépey, Stéphane
1
Francischello, Marco
1
Guo, Ivan
1
Li, Libo
1
Pallavicini, Andrea
1
ROPER, MICHAEL
1
Roper, Michael
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Finance and stochastics
2
International journal of theoretical and applied finance
2
Applied mathematical finance
1
Operations research letters
1
Springer finance
1
Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6 - 12, 2003
1
Stochastic modelling and applied probability
1
The European journal of finance
1
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ECONIS (ZBW)
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The early exercise premium representation of foreign market American options
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
4
(
1994
)
4
,
pp. 313-325
Persistent link: https://www.econbiz.de/10001185081
Saved in:
2
Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.
;
Rutkowski, Marek
-
2002
Persistent link: https://www.econbiz.de/10001621020
Saved in:
3
Continuous-time term structure models : forward measure approach
Musiela, Marek
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
Saved in:
4
Martingale methods in financial modelling
Musiela, Marek
;
Rutkowski, Marek
-
2005
-
2. ed
Persistent link: https://www.econbiz.de/10001928235
Saved in:
5
Modeling and valuation of credit risk
Bielecki, Tomasz R.
;
Jeanblanc, Monique
;
Rutkowski, Marek
- In:
Stochastic methods in finance : lectures given at the …
,
(pp. 27-126)
.
2004
Persistent link: https://www.econbiz.de/10002526431
Saved in:
6
Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek
;
Armstrong, Anthony
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
Saved in:
7
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez
;
Rutkowski, Marek
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
Saved in:
8
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
9
On the realtionship between the call price surface and the implied volatility surface close to expiry
Roper, Michael
;
Rutkowski, Marek
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 427-441
Persistent link: https://www.econbiz.de/10003879068
Saved in:
10
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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