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Volatility
Theorie
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Theory
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Portfolio selection
62
Portfolio-Management
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Deutschland
54
Germany
39
Private equity
36
Private Equity
34
Capital income
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Option pricing theory
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Stochastic process
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Derivat
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Kreditrisiko
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Markov chain
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Risikomanagement
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Anlageverhalten
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Behavioural finance
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Volatilität
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Altersvorsorge
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Private Altersvorsorge
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Private retirement provision
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Zagst, Rudi
11
Escobar, Marcos
7
Engel, Nico
2
Götz, Barbara
2
Hieber, Peter
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Kalin, Dieter
2
Achleitner, Ann-Kristin
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Borchert, Lea
1
Braun, Reiner
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Brunner, Bernhard
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Goetz, Barbara
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Neykova, Daniela
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Panz, Sven
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Applied mathematical finance
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ECONIS (ZBW)
13
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1
The risk appetite of private equity sponsors
Braun, Reiner
;
Engel, Nico
;
Hieber, Peter
;
Zagst, Rudi
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 815-832
Persistent link: https://www.econbiz.de/10009492043
Saved in:
2
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos
;
Hieber, Peter
;
Scherer, Matthias
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
Saved in:
3
Portfolio optimization under volatility and shortfall constraints
Kalin, Dieter
;
Zagst, Rudi
-
1995
Persistent link: https://www.econbiz.de/10000955547
Saved in:
4
Portfolio optimization : volatility constraints versus shortfall constraints
Kalin, Dieter
;
Zagst, Rudi
- In:
OR-Spektrum : quantitative approaches in management
21
(
1999
)
1/2
,
pp. 97-122
Persistent link: https://www.econbiz.de/10001411516
Saved in:
5
Pricing of derivatives on commodity indices
Rauch, Johannes
;
Krayzler, Mikhail
;
Brunner, Bernhard
; …
- In:
International review of financial analysis
29
(
2013
),
pp. 143-151
Persistent link: https://www.econbiz.de/10010244113
Saved in:
6
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
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
Two asset-barrier option under stochastic volatility
Goetz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 520-546
Persistent link: https://www.econbiz.de/10011815295
Saved in:
9
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:
10
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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