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Theorie
215
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continuous time
114
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93
Continuous time
86
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66
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66
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Posch, Olaf
30
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20
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15
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14
Bollerslev, Tim
14
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14
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14
Trimborn, Timo
13
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
10
Diebold, Francis X.
9
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9
Flaschel, Peter
9
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8
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8
Parra-Alvarez, Juan Carlos
8
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8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
McAleer, Michael
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Cui, Zhenyu
6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Hernández-Lerma, Onésimo
6
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6
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6
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6
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6
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14
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11
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8
HAL
8
School of Economics and Management, University of Aarhus
8
Cowles Foundation for Research in Economics, Yale University
7
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
5
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5
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4
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4
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Økonomisk Institut, Københavns Universitet
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3
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3
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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3
Volkswirtschaftslehre-Lehrstühle, Gutenberg School of Management and Economics
3
Center for Mathematical Studies in Economics and Management Science (CMS-EMS), Kellogg Graduate School of Management
2
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2
Collegio Carlo Alberto, Università degli Studi di Torino
2
Departamento de Estadistica, Universidad Carlos III de Madrid
2
Department of Applied Economics, Utah State University
2
Department of Economics and Business, Universitat Pompeu Fabra
2
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2
Department of Economics, University of Birmingham
2
Dipartimento di Economia e Management, Università degli Studi di Pisa
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2
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Physica A: Statistical Mechanics and its Applications
33
CESifo Working Paper
17
European journal of operational research : EJOR
16
Journal of economic dynamics & control
13
MPRA Paper
13
Quantitative Finance
13
CESifo Working Paper Series
11
Computational Statistics
11
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11
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11
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11
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10
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10
Statistical Inference for Stochastic Processes
9
Statistics & Probability Letters
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8
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8
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Cowles Foundation Discussion Papers
7
Economic Theory
7
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7
Games and economic behavior
7
International Journal of Theoretical and Applied Finance (IJTAF)
7
International journal of theoretical and applied finance
7
Journal of empirical finance
7
Journal of mathematical economics
7
CEPR Discussion Papers
6
CREATES Research Papers
6
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Discussion Paper
6
European Journal of Operational Research
6
IZA Discussion Papers
6
Stochastic Processes and their Applications
6
Annals of finance
5
CIRANO Working Papers
5
International journal of production research
5
Journal of economic behavior & organization : JEBO
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Mathematics and Computers in Simulation (MATCOM)
5
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RePEc
466
ECONIS (ZBW)
397
EconStor
97
BASE
18
Other ZBW resources
2
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951
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980
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951
Hierarchical spatio-temporal coupling in fractional wanderings. (II). Diffusion phase diagram for Weierstrass walks
Kutner, Ryszard
;
Regulski, Marcin
- In:
Physica A: Statistical Mechanics and its Applications
264
(
1999
)
1
,
pp. 107-133
)
continuous-time
random walk (CTRW) formalism [1–12]. The WW model is a lacunary foundation of Lévy walks [6–12] generalized to a …
continuous-time
Weierstrass flights (CTWF) model developed in the previous paper [13]. Hence, for the probability density to pass …
Persistent link: https://www.econbiz.de/10010599593
Saved in:
952
Super-replication under proportional transaction costs: From discrete to
continuous-time
models
Touzi, Nizar
- In:
Computational Statistics
50
(
1999
)
2
,
pp. 297-320
different contexts. First, we focus on discrete-time binomial models. We prove that the
continuous-time
limit of the super …-replication value is the cost of the cheapest buy-and-hold strategy. Then, the result is proved in a multivariate
continuous-time
model …
Persistent link: https://www.econbiz.de/10010759572
Saved in:
953
Super-replication under proportional transaction costs: From discrete to
continuous-time
models
Touzi, Nizar
- In:
Mathematical Methods of Operations Research
50
(
1999
)
2
,
pp. 297-320
different contexts. First, we focus on discrete-time binomial models. We prove that the
continuous-time
limit of the super …-replication value is the cost of the cheapest buy-and-hold strategy. Then, the result is proved in a multivariate
continuous-time
model …
Persistent link: https://www.econbiz.de/10010950359
Saved in:
954
Matrix analytic methods for a multi-server retrial queue with buffer
Diamond, Jeffrey
;
Alfa, Attahiru
- In:
TOP: An Official Journal of the Spanish Society of …
7
(
1999
)
2
,
pp. 249-266
Persistent link: https://www.econbiz.de/10005371443
Saved in:
955
A generalization of the mutual fund theorem
Kulldorff, Martin
;
Khanna, Ajay
- In:
Finance and Stochastics
3
(
1999
)
2
,
pp. 167-185
A generalization of the
continuous
time
mutual fund theorem is given, with no assumptions made on the investors utility …
Persistent link: https://www.econbiz.de/10005390666
Saved in:
956
A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
Melenberg, Bertrand
;
Werker, Bas
- In:
Statistical Inference for Stochastic Processes
2
(
1999
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10005615998
Saved in:
957
Extensive From Games in
Continuous
Time
Part I: Pure Strategies
Simon, Leo K.
;
Stinchcombe, Maxwell
-
Institute of Business and Economic Research (IBER), …
-
1986
Persistent link: https://www.econbiz.de/10010677767
Saved in:
958
Is the Short Rate Drift Actually Nonlinear?
Chapman, David A.
;
Pearson, Neil D.
-
EconWPA
-
1998
Virtually all existing
continuous-time
, single-factor term structure models are based on a short rate process that has …
Persistent link: https://www.econbiz.de/10005561764
Saved in:
959
Pricing stock and bond derivatives with a multi-factor Gaussian model
Bajeux-Besnainou, Isabelle
;
Portait, Roland
- In:
Applied Mathematical Finance
5
(
1998
)
3-4
,
pp. 207-225
) given a
continuous
time
Gaussian multi-factor model of the returns of stocks and bonds. The bond market is similar to …
Persistent link: https://www.econbiz.de/10005495422
Saved in:
960
Analysis of Multi-Unit Variance Components Models with State Space Profiles
Tsimikas, John
;
Ledolter, Johannes
- In:
Annals of the Institute of Statistical Mathematics
50
(
1998
)
1
,
pp. 147-164
Persistent link: https://www.econbiz.de/10005395594
Saved in:
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