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  • Search: subject:"Large deviation theory"
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Year of publication
Subject
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Large deviation theory 2 large deviation theory 2 Anlageverhalten 1 Asia 1 Asian option pricing 1 Asien 1 Asset pricing 1 Behavioural finance 1 Black-Scholes model 1 Black-Scholes-Modell 1 CAPM 1 Cramér function 1 Cressie-Read divergence 1 Decision under uncertainty 1 Economic model 1 Econophysics 1 Entscheidung unter Unsicherheit 1 Erwartungsbildung 1 Expectation formation 1 Financial economics 1 Kapitalmarkttheorie 1 Large Deviation Theory 1 Learning process 1 Lernprozess 1 Mortgage loans 1 Optimal portfolio 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Phillips curve 1 Phillips-Kurve 1 Regional allocation 1 Risiko 1 Risikoaversion 1 Risk 1 Risk aversion 1 Self-similarity 1 Simulation 1 Theorie 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 3 Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3 Undetermined 2
Author
All
Arguin, Louis-Pierre 1 Bogomolova, Anna 1 Chen, Xiaohong 1 Cho, Youngha 1 Fujisaka, Hirokazu 1 Fujiwara, Yoshi 1 Hansen, Lars Peter 1 Hansen, Peter G. 1 Hwang, Soosung 1 Kolyuzhov, Dmitri 1 Liu, Nien-Lin 1 Satchell, Steve 1 Slobodyan, Sergey 1 Wang, Tai-Ho 1
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Published in...
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Cowles Foundation discussion paper 1 International journal of theoretical and applied finance 1 Physica A: Statistical Mechanics and its Applications 1 The Journal of Real Estate Finance and Economics 1 Working paper series / Charles University, Center for Economic Research and Graduate Education ; Academy of Sciences of the Czech Republic, Economics Institute, CERGE-EI 1
Source
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ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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Robust Identification of investor beliefs
Chen, Xiaohong; Hansen, Lars Peter; Hansen, Peter G. - 2020 - This draft: May 14, 2020
Persistent link: https://www.econbiz.de/10012320533
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Most-likely-path in Asian option pricing under local voluntility models
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-32
Persistent link: https://www.econbiz.de/10011903764
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Escape dynamics: a continuous - time approximation
Kolyuzhov, Dmitri; Bogomolova, Anna; Slobodyan, Sergey - 2006
Persistent link: https://www.econbiz.de/10003295924
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The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate
Cho, Youngha; Hwang, Soosung; Satchell, Steve - In: The Journal of Real Estate Finance and Economics 45 (2012) 3, pp. 645-677
In this study, we propose a method based on large deviation theory (LDT), which minimises credit risk (expected loss …
Persistent link: https://www.econbiz.de/10010866892
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Coarse-graining and self-similarity of price fluctuations
Fujiwara, Yoshi; Fujisaka, Hirokazu - In: Physica A: Statistical Mechanics and its Applications 294 (2001) 3, pp. 439-446
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramér function, the...
Persistent link: https://www.econbiz.de/10010591647
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