Class information for:
Level 1: IMPLIED VOLATILITY//STOCHASTIC VOLATILITY//OPTION PRICING

Basic class information
ID Publications Average number
of references		 Avg. shr. active
ref. in WoS
3755 1838 29.1 46%


Bar chart of Publication_year

Last years might be incomplete

Classes in level above (level 2)


ID, lev.
above		 Publications Label for level above
1230 8583 OPTION PRICING//REAL OPTIONS//AMERICAN OPTIONS

Terms with highest relevance score


Rank Term Type of term Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class
1 IMPLIED VOLATILITY Author keyword 78 51% 6% 109
2 STOCHASTIC VOLATILITY Author keyword 51 24% 10% 184
3 OPTION PRICING Author keyword 46 21% 11% 198
4 RISK NEUTRAL DENSITY Author keyword 34 79% 1% 22
5 JOURNAL OF FUTURES MARKETS Journal 28 13% 11% 207
6 VARIANCE SWAPS Author keyword 21 73% 1% 16
7 VARIANCE SWAP Author keyword 19 76% 1% 13
8 QUANTITATIVE FINANCE Journal 17 12% 7% 134
9 HESTON MODEL Author keyword 14 36% 2% 32
10 VOLATILITY SMILE Author keyword 14 50% 1% 20

Web of Science journal categories

Author Key Words


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class		 LCSH search Wikipedia search
1 IMPLIED VOLATILITY 78 51% 6% 109 Search IMPLIED+VOLATILITY Search IMPLIED+VOLATILITY
2 STOCHASTIC VOLATILITY 51 24% 10% 184 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
3 OPTION PRICING 46 21% 11% 198 Search OPTION+PRICING Search OPTION+PRICING
4 RISK NEUTRAL DENSITY 34 79% 1% 22 Search RISK+NEUTRAL+DENSITY Search RISK+NEUTRAL+DENSITY
5 VARIANCE SWAPS 21 73% 1% 16 Search VARIANCE+SWAPS Search VARIANCE+SWAPS
6 VARIANCE SWAP 19 76% 1% 13 Search VARIANCE+SWAP Search VARIANCE+SWAP
7 HESTON MODEL 14 36% 2% 32 Search HESTON+MODEL Search HESTON+MODEL
8 VOLATILITY SMILE 14 50% 1% 20 Search VOLATILITY+SMILE Search VOLATILITY+SMILE
9 VOLATILITY DERIVATIVES 14 100% 0% 7 Search VOLATILITY+DERIVATIVES Search VOLATILITY+DERIVATIVES
10 RISK NEUTRAL MOMENTS 12 86% 0% 6 Search RISK+NEUTRAL+MOMENTS Search RISK+NEUTRAL+MOMENTS

Key Words Plus


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class
1 STOCHASTIC VOLATILITY 153 34% 20% 367
2 CURRENCY OPTIONS 108 63% 6% 109
3 IMPLIED VOLATILITY 106 63% 6% 107
4 OPTION PRICES 83 53% 6% 108
5 CHANGED LEVY PROCESSES 47 86% 1% 24
6 FOREIGN EXCHANGE OPTIONS 31 92% 1% 12
7 IMPLIED RISK AVERSION 27 92% 1% 11
8 INDEX OPTIONS 27 71% 1% 22
9 OPTION PRICING MODELS 26 80% 1% 16
10 FOREIGN CURRENCY OPTIONS 23 70% 1% 19

Journals


Rank Web of Science journal category Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ. in
class
1 JOURNAL OF FUTURES MARKETS 28 13% 11% 207
2 QUANTITATIVE FINANCE 17 12% 7% 134
3 JOURNAL OF DERIVATIVES 13 25% 3% 46
4 REVIEW OF DERIVATIVES RESEARCH 9 30% 1% 26
5 JOURNAL OF COMPUTATIONAL FINANCE 7 25% 1% 25
6 SIAM JOURNAL ON FINANCIAL MATHEMATICS 4 14% 1% 23

Reviews


Title Publ. year Cit. Active
references		 % act. ref.
to same field
Volatility Derivatives 2009 23 16 81%
Pricing and Hedging in Exponential Levy Models: Review of Recent Results 2011 6 24 33%
OPTION PRICING METHODS - AN OVERVIEW 1988 1 29 45%
ARBITRAGE PRICING OF CONTINGENT CLAIMS 1985 0 23 61%

Address terms


Rank Address term Relevance score
(tfidf)		 Class's shr.
of term's tot.
occurrences		 Shr. of publ.
in class containing
term		 Num. of
publ.
in class
1 UNIV ECON SOCIAL ANAL 6 100% 0.2% 4
2 MATH INGN FINANCIERE 4 67% 0.2% 4
3 FINANCE MUNSTER 4 36% 0.5% 9
4 DERIVAT VALIDAT GRP 3 100% 0.2% 3
5 BLOOMBERG LP COURANT 2 67% 0.1% 2
6 DEVINCI FINANCE 2 67% 0.1% 2
7 FINANCIAL ENGN MANAGEMENT 2 67% 0.1% 2
8 FINANCIAL RISKS ANAL CEFRA 2 67% 0.1% 2
9 FX QUANTITAT 2 67% 0.1% 2
10 TRADING DERIVAT 2 67% 0.1% 2

Related classes at same level (level 1)


Rank Relatedness score Related classes
1 0.0000273503 AMERICAN OPTIONS//AMERICAN OPTION//OPTION PRICING
2 0.0000183413 REALIZED VOLATILITY//GARCH//MARKET MICROSTRUCTURE NOISE
3 0.0000164799 EXPECTATIONS HYPOTHESIS//TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES
4 0.0000138439 BOLD PLAY//RED AND BLACK//PRIMITIVE CASINO
5 0.0000124624 VARIABLE ANNUITIES//VARIABLE ANNUITY//INTEREST RATE GUARANTEES
6 0.0000115952 FUNDAMENTAL THEOREM OF ASSET PRICING//FINANCE AND STOCHASTICS//UTILITY MAXIMIZATION
7 0.0000075037 MAGNET EFFECT//PRICE LIMITS//DAILY PRICE LIMITS
8 0.0000072069 SKOROKHOD EMBEDDING PROBLEM//THE PRINCIPLE OF SMOOTH FIT//THE MAXIMALITY PRINCIPLE
9 0.0000067858 EQUITY PREMIUM//LONG RUN RISK//EQUITY PREMIUM PUZZLE
10 0.0000064482 JOURNAL OF FUTURES MARKETS//THEORY OF STORAGE//FUTURES MARKETS