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Search: subject:"Levy Processes"
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Subject
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Lévy processes
237
Stochastischer Prozess
168
Stochastic process
162
Optionspreistheorie
128
Option pricing theory
127
Optionsgeschäft
47
Levy processes
46
Option trading
46
Volatilität
43
Volatility
41
Theorie
37
Derivat
33
Derivative
33
Theory
31
Option pricing
26
Lévy Processes
24
Statistical distribution
23
Statistische Verteilung
23
Portfolio selection
20
Portfolio-Management
20
Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
16
Dynamic Investment Management
16
Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Risk Sensitive Control
16
Stochastic Control
16
Viscosity Solutions
16
option pricing
16
Yield curve
15
Zinsstruktur
15
stochastic volatility
14
Credit risk
13
Markov chain
13
Markov-Kette
13
Monte Carlo simulation
13
Dividend
12
Dividende
12
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Online availability
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Undetermined
239
Free
105
CC license
4
Type of publication
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Article
299
Book / Working Paper
99
Other
5
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Article in journal
154
Aufsatz in Zeitschrift
154
Working Paper
25
Graue Literatur
12
Non-commercial literature
12
Arbeitspapier
11
Thesis
8
Article
6
Conference paper
6
Konferenzbeitrag
6
Aufsatz im Buch
4
Book section
4
research-article
3
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1
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Language
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English
240
Undetermined
163
Author
All
Yamazaki, Kazutoshi
18
Lleo, Sébastien
16
Davis, Mark H. A.
15
Eberlein, Ernst
11
Mordecki, Ernesto
9
Schoutens, Wim
9
Carr, Peter
8
Benth, Fred Espen
7
Fajardo, José
7
Luciano, Elisa
7
Semeraro, Patrizia
7
Ballotta, Laura
6
Herzberg, Frederik
6
Levendorskij, Sergej Z.
6
Mandjes, Michel
6
Pérez, José-Luis
6
Wu, Liuren
6
Fabozzi, Frank J.
5
Madan, Dilip B.
5
Yamazaki, Akira
5
Egami, Masahiko
4
Hughston, Lane P.
4
Kallsen, Jan
4
Packham, Natalie
4
Riedel, Frank
4
Schmidt, Wolfgang M.
4
SenGupta, Indranil
4
Su, Xia
4
Vives, Josep
4
Yor, Marc
4
Arai, Takuji
3
Barbachan, José Santiago Fajardo
3
Benth, Fred
3
Boyarchenko, Svetlana
3
Chan, Tat Lung
3
Eliazar, Iddo
3
Gardini, Matteo
3
Geman, Hélyette
3
Grabchak, Michael
3
Habtemicael, Semere
3
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
6
Collegio Carlo Alberto, Università degli Studi di Torino
5
EconWPA
5
School of Economics and Management, University of Aarhus
5
IBMEC Business School - Rio de Janeiro
4
HAL
3
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
3
Université Paris-Dauphine (Paris IX)
3
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Departamento de Estadistica, Universidad Carlos III de Madrid
2
Econometric Society
2
Graduate School of Economics, Kyoto University
2
International Centre for Economic Research (ICER)
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences.
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Department of Economics, University of Bath
1
Duke University, Department of Economics
1
European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
1
Fakultät für Wirtschaftswissenschaften, Technische Universität München
1
Finance Press
1
Frankfurt School of Finance and Management
1
Henley Business School, University of Reading
1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
1
Rimini Centre for Economic Analysis (RCEA)
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
University of Bonn, Germany
1
Université Paris-Dauphine
1
World Scientific Publishing Co. Pte. Ltd.
1
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Published in...
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International journal of theoretical and applied finance
22
Finance and Stochastics
20
Stochastic Processes and their Applications
19
International Journal of Theoretical and Applied Finance (IJTAF)
18
Risk-Sensitive Investment Management
15
Applied mathematical finance
14
Physica A: Statistical Mechanics and its Applications
12
Finance and stochastics
8
Insurance / Mathematics & economics
8
Quantitative Finance
7
Quantitative finance
7
European journal of operational research : EJOR
6
International journal of financial engineering
6
MPRA Paper
6
Risks : open access journal
6
Applied Mathematical Finance
5
CREATES Research Papers
5
Carlo Alberto Notebooks
5
Operations research letters
5
Risks
5
Statistics & Probability Letters
5
The journal of computational finance
5
Finance
4
IBMEC RJ Economics Discussion Papers
4
Journal of banking & finance
4
Mathematics of operations research
4
Review of derivatives research
4
The European journal of finance
4
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers
3
Computational Statistics
3
Computational economics
3
Economics Papers from University Paris Dauphine
3
Mathematical Methods of Operations Research
3
Review of Derivatives Research
3
Studies in Nonlinear Dynamics & Econometrics
3
Working Papers / HAL
3
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Annals of Finance
2
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Source
All
RePEc
192
ECONIS (ZBW)
171
EconStor
20
BASE
14
Other ZBW resources
4
USB Cologne (EcoSocSci)
2
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121
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121
Semi-analytical valuation for discrete barrier options under time-dependent
Lévy
processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
122
Pricing spread options by generalized bivariate edgeworth expansion
Kao, Edward P.
;
Xie, Weiwei
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011777833
Saved in:
123
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Pérez, José-Luis
;
Yamazaki, Kazutoshi
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011783865
Saved in:
124
Sharing and growth in general random multiplicative environments
Liebmann, Thomas
;
Kassberger, Stefan
;
Hellmich, Martin
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 193-206
Persistent link: https://www.econbiz.de/10011641512
Saved in:
125
A note on the optimal dividends paid in a foreign currency
Eisenberg, Julia
;
Krühner, Paul
- In:
Annals of actuarial science : publ. by the Institute of …
11
(
2017
)
1
,
pp. 67-73
Persistent link: https://www.econbiz.de/10011730243
Saved in:
126
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
127
Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
Saved in:
128
Bond valuation for generalized Langevin processes with integrated Lévy noise
Paseka, Alexander
;
Thavaneswaran, Aerambamoorthy
- In:
Journal of risk finance : the convergence of financial …
18
(
2017
)
5
,
pp. 541-563
Persistent link: https://www.econbiz.de/10011814911
Saved in:
129
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
130
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
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