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Option pricing theory
Stochastischer Prozess
19,114
Stochastic process
19,110
Theorie
10,912
Theory
10,880
Volatilität
4,271
Volatility
4,262
Optionspreistheorie
4,044
Mathematical programming
2,680
Mathematische Optimierung
2,680
Portfolio-Management
1,959
Portfolio selection
1,956
Zeitreihenanalyse
1,821
Time series analysis
1,816
Schätztheorie
1,776
Estimation theory
1,770
Schätzung
1,674
Estimation
1,673
Markov chain
1,376
Markov-Kette
1,374
Risk
1,292
Risiko
1,286
Principal component analysis
1,094
Optionsgeschäft
1,023
Option trading
1,020
Prognoseverfahren
984
Forecasting model
981
Monte Carlo simulation
920
Derivative
909
Derivat
908
Monte-Carlo-Simulation
907
CAPM
883
Statistische Verteilung
881
Statistical distribution
876
Börsenkurs
857
Share price
853
Simulation
851
Dynamische Optimierung
832
Dynamic programming
830
Hauptkomponentenanalyse
748
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Undetermined
1,486
Free
1,296
CC license
97
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Sammelwerk
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German
39
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Cui, Zhenyu
36
Takahashi, Akihiko
36
Chiarella, Carl
34
Fabozzi, Frank J.
27
Carr, Peter
26
Elliott, Robert J.
23
Madan, Dilip B.
23
Siu, Tak Kuen
22
Hainaut, Donatien
20
Alòs, Elisa
19
Jacquier, Antoine (Jack)
19
Oosterlee, Cornelis W.
19
Benth, Fred Espen
18
Escobar, Marcos
18
Kim, Young Shin
18
Nguyen, Duy
18
Račev, Svetlozar T.
18
Wang, Xingchun
17
Yamazaki, Akira
17
He, Xin-Jiang
16
Kirkby, Justin
16
Li, Lingfei
16
Yamada, Toshihiro
16
Gatheral, Jim
15
Grasselli, Martino
15
Kim, Jeong-Hoon
15
Levendorskij, Sergej Z.
15
Todorov, Viktor
15
Zhu, Song-Ping
15
Ziveyi, Jonathan
15
Forde, Martin
14
Kwok, Yue-Kuen
14
Mijatović, Aleksandar
14
Schoutens, Wim
14
Ballotta, Laura
13
Ewald, Christian-Oliver
13
Filipović, Damir
13
Fouque, Jean-Pierre
13
Fusai, Gianluca
13
Guyon, Julien
13
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National Bureau of Economic Research
6
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
Centre for Analytical Finance <Århus>
3
Queen Mary College / Department of Economics
2
Weierstraß-Institut für Angewandte Analysis und Stochastik
2
Australian National University / Faculty of Economics and Commerce
1
Bachelier Finance Society
1
Centre for Economic Policy Research
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Econometrisch Instituut <Rotterdam>
1
Federal Reserve Bank of Cleveland
1
International Center for Financial Asset Management and Engineering
1
Society of Actuaries
1
Springer International Publishing
1
Taylor and Francis.
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
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International journal of theoretical and applied finance
243
Quantitative finance
145
Finance and stochastics
107
The journal of computational finance
103
Applied mathematical finance
100
Insurance / Mathematics & economics
84
Computational economics
77
International journal of financial engineering
73
European journal of operational research : EJOR
69
Mathematical finance : an international journal of mathematics, statistics and financial theory
68
Journal of mathematical finance
63
Risks : open access journal
62
Finance research letters
58
Review of derivatives research
55
The journal of futures markets
48
Journal of banking & finance
42
The North American journal of economics and finance : a journal of financial economics studies
42
Journal of economic dynamics & control
39
Journal of econometrics
38
Annals of finance
37
Research paper series / Swiss Finance Institute
30
Asia-Pacific financial markets
28
Journal of risk and financial management : JRFM
25
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
The European journal of finance
25
Mathematical finance : an international journal of mathematics, statistics and financial economics
23
Energy economics
21
Economic modelling
20
Operations research letters
20
Mathematics of operations research
19
SFB 649 discussion paper
19
Decisions in economics and finance : DEF ; a journal of applied mathematics
18
Decisions in economics and finance : a journal of applied mathematics
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Journal of empirical finance
17
Mathematics and financial economics
17
Review of quantitative finance and accounting
17
International journal of theoretical and applied finance : IJTAF
16
Journal of financial economics
16
Applied economics
15
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ECONIS (ZBW)
4,019
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1
Handling discontinuities in financial engineering : good path simulation and smoothing
Wang, Xiaoqun
- In:
Operations research
64
(
2016
)
2
,
pp. 297-314
Persistent link: https://www.econbiz.de/10011485479
Saved in:
2
An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
He, Zhijian
;
Wang, Xiaoqun
- In:
Computational economics
57
(
2021
)
2
,
pp. 693-718
Persistent link: https://www.econbiz.de/10012486953
Saved in:
3
Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye
;
Wang, Xiaoqun
- In:
Computational economics
54
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
Saved in:
4
Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris
;
Avellaneda, Marco
- In:
Options - 45 years since the publication of the …
,
(pp. 257-292)
.
2023
Persistent link: https://www.econbiz.de/10014366655
Saved in:
5
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
Saved in:
6
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Saved in:
7
Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
Saved in:
8
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Saved in:
9
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
10
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
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