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~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
~type:"article"
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Stochastic process
Stochastischer Prozess
CAPM
52
Theorie
24
Theory
24
Portfolio selection
22
Portfolio-Management
22
Capital income
15
Kapitaleinkommen
15
Option pricing theory
14
Optionspreistheorie
14
Asset pricing
10
Börsenkurs
10
Estimation
10
Schätzung
10
Share price
10
Risiko
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Risk
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Risikoprämie
6
Risk measure
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Risk premium
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Credit risk
5
Kreditrisiko
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Portfolio optimization
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Aktienmarkt
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Beta risk
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15
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González-Urteaga, Ana
2
Rubio, Gonzalo
2
Bianchi, Michele Leonardo
1
Capriotti, Luca
1
Dentcheva, Darinka
1
Dong, Juan
1
Dupret, Jean-Loup
1
Escobar, Marcos
1
Guidolin, Massimo
1
Hainaut, Donatien
1
Hansen, Erwin
1
Korobenko, Lyudmila
1
Kschonnek, M.
1
Law, Keith K. F.
1
Li, Wai Keung
1
Lorig, Matthew
1
Lozano-Banda, Martín
1
Nakagawa, Hidetoshi
1
Nieto Domenech, Belen
1
Nieto, Belén
1
Sezer, A. Deniz
1
Stock, Gregory J.
1
Suzuki, Masataka
1
Takada, Hideyuki
1
Tassinari, Gian Luca
1
Wang, Tianxiao
1
Wei, Jiaqin
1
Yamazaki, Akira
1
Yu, Philip L. H.
1
Zagst, Rudi
1
Zhuo, Jin
1
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Quantitative finance
Journal of economic dynamics & control
18
International journal of theoretical and applied finance
17
European journal of operational research : EJOR
11
Finance and stochastics
11
Annals of finance
10
Journal of financial economics
9
Asia-Pacific financial markets
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
The European journal of finance
8
Computational economics
7
Finance research letters
7
Journal of banking & finance
7
The review of financial studies
7
Journal of econometrics
6
Quantitative economics : QE ; journal of the Econometric Society
6
The journal of finance : the journal of the American Finance Association
6
Economic modelling
5
Journal of mathematical finance
5
The journal of computational finance
5
Applied mathematical finance
4
Econometric reviews
4
Financial engineering
4
International review of financial analysis
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of economic theory
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
3
Economics letters
3
International journal of financial engineering
3
Journal of empirical finance
3
Journal of risk and financial management : JRFM
3
Macroeconomic dynamics
3
Management science : journal of the Institute for Operations Research and the Management Sciences
3
Operations research letters
3
Review of derivatives research
3
Risks : open access journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied economics
2
Econometrics : open access journal
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ECONIS (ZBW)
15
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1
A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Saved in:
2
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:
3
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
4
Smooth ambiguity preferences and asset prices with a jump-diffusion process
Suzuki, Masataka
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 871-887
Persistent link: https://www.econbiz.de/10013367866
Saved in:
5
Bond indifference prices
Lorig, Matthew
;
Zou, Bin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
Saved in:
6
Mean-variance portfolio selection with non-negative state-dependent risk aversion
Wang, Tianxiao
;
Zhuo, Jin
;
Wei, Jiaqin
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 657-671
Persistent link: https://www.econbiz.de/10012483844
Saved in:
7
An alternative nonparametric tail risk measure
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
Saved in:
8
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto, Belén
;
Rubio, Gonzalo
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
Saved in:
9
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto Domenech, Belen
;
Rubio, …
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
Saved in:
10
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
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