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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
First passage time
38
Stochastic process
20
first passage time
15
Option pricing theory
14
Optionspreistheorie
14
Theorie
12
First-passage time
10
Theory
10
Mean first-passage time
7
Volatilität
7
Credit risk
6
Lévy process
6
credit dynamics
6
credit spreads
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first passage time models
6
gap risk
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general Ornstein-Uhlenbeck processes
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Kreditrisiko
5
Lévy processes
5
Probability theory
5
Random walk
5
Risikoprämie
5
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5
Wahrscheinlichkeitsrechnung
5
Barrier options
4
Brownian motion
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Insolvency
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Optionsgeschäft
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Zins
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first-passage time
4
Derivat
3
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3
Econophysics
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Kolmogorov forward equation
3
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3
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Packham, Natalie
4
Schlögl, Lutz
4
Schmidt, Wolfgang M.
4
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1
An, Yang
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Su, Xiaoshan
1
Surya, B. A.
1
Yang, Jiankui
1
Yoo, Hyun Joo
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3
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2
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
19
EconStor
2
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1
Closed form valuation of barrier options with stochastic barriers
Guillaume, Tristan
- In:
Risk management decisions and value under uncertainty
,
(pp. 1021-1050)
.
2022
Persistent link: https://www.econbiz.de/10013342082
Saved in:
2
Why does a human die? : a structural approach to cohort-wise mortality prediction under survival energy hypothesis
Shimizu, Yasutaka
;
Minami, Yuki
;
Ito, Ryunosuke
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
1
,
pp. 191-219
Persistent link: https://www.econbiz.de/10012437278
Saved in:
3
The likelihood of mixed hitting times
Abbring, Jaap H.
;
Salimans, Tim
- In:
Journal of econometrics
223
(
2021
)
2
,
pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
Saved in:
4
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Dong, Y.
;
Spielmann, J.
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012241966
Saved in:
5
Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André
;
Rosenfeld, Rogério
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
Saved in:
6
Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier
;
Su, Xiaoshan
- In:
Asia Pacific financial markets
27
(
2020
)
4
,
pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
Saved in:
7
On the definition of the investment-uncertainty relationship
Gutiérrez, Oscar
- In:
Journal of economics & business
112
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012518300
Saved in:
8
Tempered stable process,
first
passage
time
, and path-dependent option pricing
Kim, Young Shin
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
Saved in:
9
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Loeffen, R.
;
Palmowski, Z.
;
Surya, B. A.
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 190-197
Persistent link: https://www.econbiz.de/10011944136
Saved in:
10
Lowest priority waiting time distribution in an accumulating priority Lévy queue
Kella, Offer
;
Ravner, Liron
- In:
Operations research letters
45
(
2017
)
1
,
pp. 40-45
Persistent link: https://www.econbiz.de/10011687127
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