المؤلفون: Delemotte, Jules, Ségonne, Florent, de Marco, Stefano

المساهمون: Centre de Mathématiques Appliquées de l'Ecole polytechnique (CMAP), Institut National de Recherche en Informatique et en Automatique (Inria)-École polytechnique (X), Institut Polytechnique de Paris (IP Paris)-Institut Polytechnique de Paris (IP Paris)-Centre National de la Recherche Scientifique (CNRS)

المصدر: https://hal.science/hal-04555805 ; 2024.

مصطلحات موضوعية: implied volatility, ATMT skew term structure, power-law, arbitrage bounds, [MATH]Mathematics [math]

الاتاحة: https://hal.science/hal-04555805
https://hal.science/hal-04555805v1/document
https://hal.science/hal-04555805v1/file/SSRN_V1.pdf

المؤلفون: Yi Hong

المصدر: Mathematical and Computational Applications, Vol 25, Iss 60, p 60 (2020)

مصطلحات موضوعية: currency basket options, static hedging, arbitrage bounds, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939, Electronic computers. Computer science, QA75.5-76.95

Relation: https://www.mdpi.com/2297-8747/25/3/60; https://doaj.org/toc/1300-686X; https://doaj.org/toc/2297-8747; https://doaj.org/article/0a749fc71f1e4cabb442c0efe434f7f0

الاتاحة: https://doi.org/10.3390/mca25030060
https://doaj.org/article/0a749fc71f1e4cabb442c0efe434f7f0

المؤلفون: Pasquazzi, Leo

المساهمون: Pasquazzi, L

مصطلحات موضوعية: Volatility Model, eSSVI Surface, Arbitrage Bounds

وصف الملف: STAMPA

Relation: volume:13; issue:5; firstpage:1341; lastpage:1358; numberofpages:18; journal:THEORETICAL ECONOMICS LETTERS; https://hdl.handle.net/10281/457280

الاتاحة: https://hdl.handle.net/10281/457280
https://doi.org/10.4236/tel.2023.135075

المؤلفون: Geyer, Alois, Hanke, Michael, Weissensteiner, Alex

مصطلحات موضوعية: finance / scenarios / no-arbitrage bounds / financial optimization

وصف الملف: application/pdf

Relation: http://www.elsevier.com/; http://epub.wu.ac.at/4387/

الاتاحة: http://epub.wu.ac.at/4387/1/EJOR%2DD%2D13%2D01517.pdf

المؤلفون: Davis, Mark, Schachermayer, Walter, Tompkins, Robert G.

مصطلحات موضوعية: JEL C15, G13, option pricing / exotic options / stable hedging / replicating portfolios / no-arbitrage bounds

وصف الملف: application/pdf

Relation: http://epub.wu.ac.at/340/

الاتاحة: http://epub.wu.ac.at/340/1/document.pdf

المؤلفون: Vladimir Lucic

المصدر: SSRN Electronic Journal.

مصطلحات موضوعية: History, No-arbitrage bounds, Polymers and Plastics, Butterfly, Econometrics, Volatility smile, Monotonic function, Arbitrage, Business and International Management, Volatility (finance), Implied volatility, Industrial and Manufacturing Engineering, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::9e3c69b14cead5e3d742d68aad6c97ca
https://doi.org/10.2139/ssrn.3835233

المؤلفون: Stehle, Richard, Jaschke, Stefan R., Wernicke, S.

مصطلحات موضوعية: linear programming, duality theory, term structure of interest rates, smoothing splines, tax clientele, arbitrage bounds, 330 Wirtschaft, 17 Wirtschaft, ddc:330

وصف الملف: application/pdf

Relation: http://edoc.hu-berlin.de/18452/4363; urn:nbn:de:kobv:11-10056454; http://dx.doi.org/10.18452/3711; 2135319-0

الاتاحة: http://edoc.hu-berlin.de/18452/4363
https://nbn-resolving.org/urn:nbn:de:kobv:11-10056454
https://doi.org/10.18452/3711

المؤلفون: Bridget M. Torsey

المصدر: The Mathematical Gazette. 101:522-525

مصطلحات موضوعية: Combinatorics, Algebraic formula for the variance, No-arbitrage bounds, Multivariate random variable, General Mathematics, 010102 general mathematics, Expected return, Applied mathematics, 0101 mathematics, Expected value, 01 natural sciences, Random variable, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::5cb0aa7772ba4ab15ab0e2f5dfcaca26
https://doi.org/10.1017/mag.2017.147

المؤلفون: Ludger Rüschendorf, Steven Vanduffel, Carole Bernard, Ruodu Wang

المساهمون: Business

المصدر: Finance and Stochastics. 21:631-659

مصطلحات موضوعية: Statistics and Probability, Factor models, 01 natural sciences, Upper and lower bounds, dependence uncertainty, Combinatorics, 010104 statistics & probability, Joint probability distribution, Value-at-risk, 0502 economics and business, Econometrics, Range (statistics), 0101 mathematics, Factor analysis, Mathematics, 050208 finance, 05 social sciences, Regular polygon, Risk aggregation, Risk factor (finance), Risk factor (computing), No-arbitrage bounds, Conditional independence, Time consistency, Tail risk, Model risk, Statistics, Probability and Uncertainty, Marginal distribution, Finance, Value at risk

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5da3e31934e19634f74e8b1f6c0c1165
https://doi.org/10.1007/s00780-017-0328-4

المؤلفون: Mark Davis, Walter Schachermayer, Robert Tompkins

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0112.pdf.

مصطلحات موضوعية: Venture Capital, Capital and ownership structure, instalment Options, Replicating Portfolios, No-arbitrage Bounds, Real Options

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.164.8979; http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0112.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.164.8979
http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0112.pdf

المؤلفون: Santiago Balseiro, David B. Brown

المصدر: Operations Research.

مصطلحات موضوعية: Dynamic programming, Mathematical optimization, 050208 finance, 021103 operations research, No-arbitrage bounds, 0502 economics and business, 05 social sciences, 0211 other engineering and technologies, Duality (optimization), 02 engineering and technology, Management Science and Operations Research, Computer Science Applications, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::c97a6358093ec26334445d7eaaf9be04
https://doi.org/10.1287/opre.2018.1782

المؤلفون: Mark Davis, Walter Schachermayer, Robert Tompkins

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.ma.ic.ac.uk/~mdavis/docs/Venture1.pdf.

مصطلحات موضوعية: Venture Capital, Capital and ownership structure, instalment Options, Replicating Portfolios, No-arbitrage Bounds, Re

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.197.525; http://www.ma.ic.ac.uk/~mdavis/docs/Venture1.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.197.525
http://www.ma.ic.ac.uk/~mdavis/docs/Venture1.pdf

المؤلفون: Mark Davis, Walter Schachermayer, Robert Tompkins

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www2.imperial.ac.uk/~mdavis/docs/installment.pdf.

مصطلحات موضوعية: Key words, Option Pricing, Exotic Options, Stable Hedging, Replicating Port- folios, No-arbitrage bounds

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.558.388; http://www2.imperial.ac.uk/~mdavis/docs/installment.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.558.388
http://www2.imperial.ac.uk/~mdavis/docs/installment.pdf

المؤلفون: R. Stehle, S. Jaschke, S. Wernicke

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.jaschke.net/papers/tce.ps.

مصطلحات موضوعية: term structure of interest rates, tax clientele, arbitrage bounds, linear programming, duality theory, smoothing splines

وصف الملف: application/postscript

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.7.3264; http://www.jaschke.net/papers/tce.ps

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.7.3264
http://www.jaschke.net/papers/tce.ps

المؤلفون: R. Stehle, S. Jaschke, S. Wernicke

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: ftp://amadeus.wiwi.hu-berlin.de/pub/papers/sfb373/sfb1998/dpsfb980011.ps.Z

مصطلحات موضوعية: term structure of interest rates, tax clientele, arbitrage bounds, linear programming, duality theory, smoothing splines

وصف الملف: application/postscript

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.45.8471

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.45.8471

المؤلفون: Daphne Qing Liu, Sergey Badikov, Patrick Roome, Antoine Jacquier

المساهمون: Engineering & Physical Science Research Council (EPSRC)

المصدر: Quantitative Finance. 17:1243-1256

مصطلحات موضوعية: Linear programming, Discretization, Robust bounds, 01 natural sciences, FOS: Economics and business, 010104 statistics & probability, 0502 economics and business, FOS: Mathematics, Applied mathematics, 0101 mathematics, Forward-start, 01 Mathematical Sciences, 14 Economics, Heston, Mathematics, Martingale optimal transport, 050208 finance, Probability (math.PR), 05 social sciences, Replication (computing), Heston model, Dual (category theory), No-arbitrage bounds, 91G20, 91G80, 90C46, 90C05, 90C34, 15 Commerce, Management, Tourism And Services, Pricing of Securities (q-fin.PR), Martingale (probability theory), Quantitative Finance - Pricing of Securities, General Economics, Econometrics and Finance, Mathematics - Probability, Finance, Curse of dimensionality

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::718008968bc879487528be3e494ab416
https://doi.org/10.1080/14697688.2016.1267392

المؤلفون: Weiwei Shen, Mark Broadie

المصدر: Computational Management Science. 14:215-227

مصطلحات موضوعية: Mathematical optimization, 050208 finance, 05 social sciences, Management Science and Operations Research, Expected value, Upper and lower bounds, Management Information Systems, symbols.namesake, No-arbitrage bounds, Autoregressive model, Bellman equation, 0502 economics and business, Taylor series, symbols, Business, Management and Accounting (miscellaneous), Portfolio, 050207 economics, Statistics, Probability and Uncertainty, Value (mathematics), Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::0e1542747ec41be7431f974e49b0abf1
https://doi.org/10.1007/s10287-016-0270-5

المؤلفون: Nino Kordzakhia, Alexander Novikov, Timothy G. Ling, Scott Alexander

المصدر: Theory of Probability & Its Applications. 61:94-106

مصطلحات موضوعية: Statistics and Probability, Class (set theory), Mathematical optimization, 050208 finance, Monte Carlo methods for option pricing, 05 social sciences, Trinomial tree, 01 natural sciences, Lévy process, 010104 statistics & probability, No-arbitrage bounds, 0502 economics and business, Asian option, Binomial options pricing model, 0101 mathematics, Statistics, Probability and Uncertainty, Mathematical economics, Curse of dimensionality, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::eb881aee5ceb908f8494cfa382adeb74
https://doi.org/10.1137/s0040585x97t987995

المؤلفون: Martin Egozcue, Luis Fuentes García

المصدر: The Journal of Risk Model Validation. 10:1-20

مصطلحات موضوعية: Economics and Econometrics, 050208 finance, Financial economics, Applied Mathematics, Equity ratio, 05 social sciences, Monetary economics, Stress testing (software), Original research, No-arbitrage bounds, Modeling and Simulation, 0502 economics and business, Economics, Foreign exchange, 050207 economics, Foreign exchange risk, Finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::c140160a68e8b09b5584aef7e4c88e4f
https://doi.org/10.21314/jrmv.2016.150

المؤلفون: Stefan Jaschke

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.jaschke.net/papers/discrete.ps.

مصطلحات موضوعية: arbitrage bounds, super-hedging, linear programming, duality theory, transaction costs, minimax problems

وصف الملف: application/postscript

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.7.5685; http://www.jaschke.net/papers/discrete.ps

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.7.5685
http://www.jaschke.net/papers/discrete.ps