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isPartOf:"SFB 649 discussion paper"
~isPartOf:"CREATES research paper"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Quantitative finance"
~subject:"Estimation theory"
~subject:"Mortality"
~subject:"Risiko"
~subject:"Theorie"
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Search: subject_exact:"Stochastisches Modell"
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Estimation theory
Mortality
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Stochastic process
554
Stochastischer Prozess
554
Theory
279
Option pricing theory
182
Optionspreistheorie
182
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153
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153
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124
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Podolskij, Mark
11
Barndorff-Nielsen, Ole E.
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Härdle, Wolfgang
6
Liang, Zongxia
6
Pakkanen, Mikko S.
6
Avanzi, Benjamin
5
Hainaut, Donatien
5
Reiß, Markus
5
Veraart, Almut E. D.
5
Wong, Hoi Ying
5
Bennedsen, Mikkel
4
Bibinger, Markus
4
Escobar, Marcos
4
Guan, Guohui
4
Hautsch, Nikolaus
4
Kristensen, Dennis
4
Li, Xiaohu
4
Lunde, Asger
4
Meyer-Gohde, Alexander
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Wong, Bernard
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Yang, Hailiang
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Zhuo, Jin
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3
Benth, Fred Espen
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Chiu, Mei Choi
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Eisenberg, Julia
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Horst, Ulrich
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Kappus, Johanna
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Li, Zhongfei
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Loisel, Stéphane
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Lu, Yi
3
Pichler, Alois
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Post, Thomas
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Shevchenko, Pavel V.
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Siu, Tak Kuen
3
Söhl, Jakob
3
Trufin, Julien
3
Veliyev, Bezirgen
3
Wang, Rongming
3
Wei, Jiaqin
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International Conference on Stochastic Programming <15., 2019, Trondheim>
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SFB 649 discussion paper
CREATES research paper
Insurance / Mathematics & economics
Quantitative finance
European journal of operational research : EJOR
459
Journal of econometrics
165
Computers & operations research : and their applications to problems of world concern ; an international journal
147
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137
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132
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126
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109
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76
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Economics letters
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59
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Scandinavian actuarial journal
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ECONIS (ZBW)
350
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1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
2
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
3
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
4
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
5
The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.
;
Blomvall, Jörgen
;
Ekblom, Jonas
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
Saved in:
6
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
7
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
8
Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Li, Johnny Siu-Hang
;
Liu, Yanxin
;
Chan, Wai-Sum
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 96-121
Persistent link: https://www.econbiz.de/10014466206
Saved in:
9
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
Saved in:
10
Stable dividends under linear-quadratic optimisation
Avanzi, B.
;
Falden, Debbie Kusch
;
Steffensen, Mogens
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1199-1215
Persistent link: https://www.econbiz.de/10014339901
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