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efficient option pricing
Characteristic functions
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Empirical estimation
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Optionspreistheorie
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Stochastic volatility
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Volatilität
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Affine jump-diffusions
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Affine-jump-diffusions
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Bruch
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CAPM
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Leverage-Effekt
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Lévy time change
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Martingal
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Martingale
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Matrix Affine Jump Diffusions
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Modeling asset prices
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Option pricing theory
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Stochastic process
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Stochastischer Prozess
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affine jump diffusions
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affine jump-diffusions
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asset pricing models
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conditional Lévy processes
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electricity and energy markets
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polynomial jump-diffusions
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polynomial transformations
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regime-switching spikes
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state-space (Kalman filter) estimation
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stochastic volatility
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Culot, Michel
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Practical stochastic modelling of electricity prices
Culot, Michel
;
Goffin, Valérie
;
Lawford, Steve
;
Meten, …
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HAL
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2013
deterministic elements and spikes, and state-space estimation of diffusive factors. We use several results on
affine
jump
diffusions
…
Persistent link: https://www.econbiz.de/10010798400
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