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~isPartOf:"Quantitative finance"
~subject:"Mathematical programming"
~subject:"Monte Carlo simulation"
~subject:"Schätzung"
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Search: subject_exact:"Stochastic process"
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Mathematical programming
Monte Carlo simulation
Schätzung
Stochastic process
246
Stochastischer Prozess
246
Option pricing theory
120
Optionspreistheorie
120
Volatility
116
Volatilität
116
Theorie
86
Theory
86
Stochastic volatility
41
Portfolio selection
38
Portfolio-Management
38
Derivat
27
Derivative
27
Monte-Carlo-Simulation
23
Option trading
23
Optionsgeschäft
23
Markov chain
22
Markov-Kette
22
Time series analysis
21
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21
Estimation
20
Mathematische Optimierung
20
Electric power industry
19
Elektrizitätswirtschaft
19
Option pricing
19
Commodity derivative
18
Oil price
18
Rohstoffderivat
18
Ölpreis
18
CAPM
17
Capital income
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Hedging
17
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17
ARCH model
16
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57
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58
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58
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English
58
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Baum, Christopher F.
2
Bayer, Christian
2
Consigli, Giorgio
2
González-Urteaga, Ana
2
Ignatieva, Ekaterina
2
Li, Y. P.
2
Rubio, Gonzalo
2
Sornette, Didier
2
Wehrli, Alexander
2
Wheatley, Spencer
2
Zerilli, Paola
2
Abate, Arega Getaneh
1
Andriosopoulos, Kostas
1
Angus, Andrew
1
Arouri, Mohamed
1
Auster, Johan
1
Avanzi, B.
1
Badunenko, Oleg
1
Ben Hammouda, Chiheb
1
Bertocchi, Marida
1
Birge, John R.
1
Blomvall, Jörgen
1
Boffino, Luigi
1
Boubaker, Sabri
1
Brennan, Feargal
1
Brix, Anne Floor
1
Bunn, Derek W.
1
Caporin, Massimiliano
1
Chen, C.
1
Chen, Liyuan
1
Chen, Tao
1
Chen, Zhiping
1
Chiarella, Carl
1
Cho, Hoon
1
Chronopoulou, Alexandra
1
Chun, Dohyun
1
Conejo, Antonio J.
1
Costa, Letícia de Almeida
1
Damien, Paul
1
Dehler-Holland, Joris
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International Conference on Stochastic Programming <15., 2019, Trondheim>
1
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Energy economics
Quantitative finance
European journal of operational research : EJOR
297
Computers & operations research : and their applications to problems of world concern ; an international journal
103
Operations research
84
Mathematics of operations research
70
Operations research letters
69
International journal of production research
63
Journal of econometrics
59
INFORMS journal on computing : JOC
54
International journal of production economics
43
Computational Management Science : CMS
40
Transportation research / E : an international journal
37
Econometric reviews
36
Discussion paper / Tinbergen Institute
35
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Omega : the international journal of management science
33
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Working paper
31
Annals of operations research
29
Computational economics
29
International journal of theoretical and applied finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
26
Economic modelling
24
Insurance / Mathematics & economics
22
OR spectrum : quantitative approaches in management
22
Applied economics
21
Mathematical methods of operations research
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
20
Journal of the Operational Research Society
20
Finance and stochastics
19
IMA journal of management mathematics
19
Journal of banking & finance
19
Journal of economic dynamics & control
19
Journal of empirical finance
19
The journal of computational finance
19
CAMA working paper series
18
Les cahiers du GERAD
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
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ECONIS (ZBW)
58
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1
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:
2
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:
3
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
4
Learning a functional control for high-frequency finance
Leal, Laura
;
Lauriere, Mathieu
;
Lehalle, Charles-Albert
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
Saved in:
5
On parametric optimal execution and machine learning surrogates
Chen, Tao
;
Ludkovski, Mike
;
Voß, Moritz
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 15-34
Persistent link: https://www.econbiz.de/10014551893
Saved in:
6
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
Saved in:
7
Better to grow or better to improve? : measuring environmental efficiency in OECD countries with a stochastic environmental Kuznets frontier (SEKF)
Badunenko, Oleg
;
Galeotti, Marzio
;
Hunt, Lester C.
- In:
Energy economics
121
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014438777
Saved in:
8
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
9
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
Saved in:
10
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu
;
Kwon, Do-Gyun
;
Lee, Yongjae
;
Kim, Jang Ho
; …
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
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