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~isPartOf:"Mathematical finance"
~subject:"VAR model"
~subject:"Volatility"
~type_genre:"Graue Literatur"
~type_genre:"Konferenzschrift"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Stochastic volatility"
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VAR model
Volatility
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Stochastischer Prozess
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Volatilität
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Option pricing theory
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Optionspreistheorie
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stochastic volatility
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Martingal
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Martingale
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Time series analysis
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Derivat
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fractional Brownian motion
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high frequency data
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limit theorem
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power variation
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quadratic variation
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semimartingale
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Background driving L´evy process
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Econometrics
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Entropie
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Entropy
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Hedging
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Incomplete market
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Long range dependence
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L´evy density
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OU processes
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Option pricing
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Particle filter
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Statistical distribution
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Statistische Verteilung
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Stochastic volatility
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Subordination
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Superposition
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Theorie
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financial derivatives
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Woerner, Jeannette H. C.
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Barndorff-Nielsen, Ole E.
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Henderson, Vicky
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Howison, Sam
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Shephard, Neil G.
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Matched asymptotic expansions in financial engineering
Howison, Sam
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2005
Persistent link: https://www.econbiz.de/10009581648
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2
Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C.
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2003
Persistent link: https://www.econbiz.de/10009581651
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3
Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581654
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4
Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky
-
2002
Persistent link: https://www.econbiz.de/10009581661
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5
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581672
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