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Stochastic process
Volatility
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93
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79
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74
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64
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59
Chiarella, Carl
56
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56
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51
Madan, Dilip B.
51
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51
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50
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50
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46
Escudero, Laureano F.
45
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44
Yu, Jun
43
Asai, Manabu
40
Fabozzi, Frank J.
40
Linton, Oliver
40
Shephard, Neil G.
40
Wong, Wing Keung
39
Gao, Jiti
37
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36
Todorov, Viktor
36
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35
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Hainaut, Donatien
35
Härdle, Wolfgang
35
Gendreau, Michel
34
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34
Zhang, Qing
34
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33
Račev, Svetlozar T.
32
Stein, Jerome L.
32
Kleijnen, Jack P. C.
30
Lucas, André
30
Siu, Tak Kuen
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Whang, Yoon-jae
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Carr, Peter
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National Bureau of Economic Research
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Springer International Publishing
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Umeå Universitet / Institutionen för Nationalekonomi
2
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
2
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European journal of operational research : EJOR
733
International journal of theoretical and applied finance
360
Insurance / Mathematics & economics
336
Journal of econometrics
282
Finance and stochastics
245
Operations research
215
Quantitative finance
210
Mathematics of operations research
207
Operations research letters
196
Computers & operations research : and their applications to problems of world concern ; an international journal
194
International journal of production research
189
Journal of economic dynamics & control
153
Risks : open access journal
153
Applied mathematical finance
143
Discussion paper / Tinbergen Institute
141
Computational economics
139
International journal of production economics
130
Economics letters
127
The journal of computational finance
124
Mathematical finance : an international journal of mathematics, statistics and financial theory
122
Finance research letters
109
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
108
Management science : journal of the Institute for Operations Research and the Management Sciences
106
Journal of mathematical finance
105
Econometric reviews
98
Energy economics
93
Mathematical methods of operations research
92
International journal of financial engineering
90
Omega : the international journal of management science
89
INFORMS journal on computing : JOC
87
Annals of finance
82
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
81
Annals of operations research
80
Economic modelling
80
Working paper
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Journal of banking & finance
79
Journal of economic theory
78
Computational Management Science : CMS
76
Transportation research / E : an international journal
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Scandinavian actuarial journal
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ECONIS (ZBW)
19,116
RePEc
59
Other ZBW resources
2
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1
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
2
Calibration of local-stochastic and path-dependent
volatility
models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
3
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
4
Asymptotics for
volatility
derivatives in multi-factor rough
volatility
models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
Saved in:
5
Short-dated smile under rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
6
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
7
Infinite-dimensional polynomial processes
Cuchiero, Christa
;
Svaluto-Ferro, Sara
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 383-426
Persistent link: https://www.econbiz.de/10012499741
Saved in:
8
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
9
Local
volatility
calibration during turbulent periods
Skindilias, Konstantinos
;
Lo, Chia Chun
- In:
Review of quantitative finance and accounting
44
(
2015
)
3
,
pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
Saved in:
10
Hedging options in a hidden Markov-switching local-
volatility
model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
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