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~person:"Carr, Peter"
~person:"Chiarella, Carl"
~person:"Elliott, Robert J."
~person:"Jeon, Doh-Shin"
~person:"Madan, Dilip B."
~subject:"Markov-Kette"
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Markov-Kette
Option pricing theory
240
Optionspreistheorie
240
Theorie
186
Theory
186
Stochastischer Prozess
101
Stochastic process
100
CAPM
93
Volatility
88
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88
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56
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56
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45
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45
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37
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33
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33
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33
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33
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32
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28
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28
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23
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23
Kapitaleinkommen
23
Kapitalmarkttheorie
23
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20
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20
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20
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20
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20
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20
Erwartungsbildung
18
Expectation formation
18
Martingal
16
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Preisdifferenzierung
16
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English
32
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Carr, Peter
Chiarella, Carl
Elliott, Robert J.
Jeon, Doh-Shin
Madan, Dilip B.
Siu, Tak Kuen
20
Cui, Zhenyu
18
Nguyen, Duy
13
Chan, Leunglung
11
Kirkby, Justin
8
Kirkby, J. Lars
7
Li, Lingfei
7
Zhang, Gongqiu
6
Chen, Son-nan
5
Fabozzi, Frank J.
5
Laussel, Didier
5
Ma, Jingtang
5
Mamon, Rogemar S.
5
Resende, Joana
5
Shen, Yang
5
Sialm, Clemens
5
Zhu, Song-Ping
5
Casarin, Roberto
4
Guidolin, Massimo
4
Hainaut, Donatien
4
He, Xin-Jiang
4
Kim, Young Shin
4
Liu, Hening
4
Nishide, Katsumasa
4
Remillard, Bruno
4
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4
Simonato, Jean-Guy
4
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4
Yang, Wensheng
4
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3
Cabral, Luís M. B.
3
Chourdakis, Kyriakos
3
Chourdakis, Kyriakos M.
3
Duan, Jin-Chuan
3
Filipović, Damir
3
Forbes, Catherine Scipione
3
Gapeev, Pavel V.
3
Gillman, Max
3
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International journal of theoretical and applied finance
5
Annals of finance
4
Applied mathematical finance
2
International Series in Operations Research & Management Science
2
International series in operations research & management science
2
SpringerLink / Bücher
2
The journal of futures markets
2
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1
Asia-Pacific financial markets
1
Energy economics
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of financial and quantitative analysis : JFQA
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical modeling and numerical methods in finance : special volume
1
Quantitative finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Review of derivatives research
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The journal of derivatives : JOD
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ECONIS (ZBW)
32
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1
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10
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32
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
3
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
4
Option
pricing
using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
5
American option
pricing
and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
6
Asset
pricing
using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
7
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
8
The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
Chiarella, Carl
;
Hsiao, Chih-ying
-
2006
Persistent link: https://www.econbiz.de/10003325231
Saved in:
9
Pricing
of discount bonds with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
- In:
Annals of finance
10
(
2014
)
3
,
pp. 509-522
Persistent link: https://www.econbiz.de/10010399761
Saved in:
10
Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
Energy economics
40
(
2013
),
pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
Saved in:
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