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Search: subject:"Levy Processes"
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Subject
All
Lévy processes
235
Stochastischer Prozess
157
Stochastic process
151
Optionspreistheorie
129
Option pricing theory
128
Volatilität
49
Volatility
47
Levy processes
46
Theorie
30
Derivat
28
Derivative
28
Option pricing
26
Lévy Processes
24
Optionsgeschäft
24
Theory
24
Option trading
23
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
Portfolio selection
16
Portfolio-Management
16
Risk Sensitive Control
16
Stochastic Control
16
Viscosity Solutions
16
option pricing
16
stochastic volatility
14
Statistical distribution
13
Statistische Verteilung
13
Monte Carlo simulation
12
Scale functions
12
Credit risk
11
Dividend
11
Dividende
11
Yield curve
11
Zinsstruktur
11
multivariate subordinators
11
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Online availability
All
Undetermined
238
Free
103
Type of publication
All
Article
296
Book / Working Paper
99
Other
5
Type of publication (narrower categories)
All
Article in journal
151
Aufsatz in Zeitschrift
151
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
237
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
Fajardo, José
7
Luciano, Elisa
7
Semeraro, Patrizia
7
Ballotta, Laura
6
Benth, Fred Espen
6
Herzberg, Frederik
6
Levendorskij, Sergej Z.
6
Mandjes, Michel
6
Pérez, José-Luis
6
Wu, Liuren
6
Fabozzi, Frank J.
5
Yamazaki, Akira
5
Egami, Masahiko
4
Hughston, Lane P.
4
Kallsen, Jan
4
Madan, Dilip B.
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
Habtemicael, Semere
3
Junca, Mauricio
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...
All
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
13
Physica A: Statistical Mechanics and its Applications
12
Insurance / Mathematics & economics
8
Finance and stochastics
7
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)
168
EconStor
20
BASE
14
Other ZBW resources
4
USB Cologne (EcoSocSci)
2
Showing
141
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400
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141
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
142
Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed
Lévy
processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
Saved in:
143
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on
Lévy
processes
Jiang, Guangxin
;
Xu, Chenglong
;
Fu, Michael
- In:
Operations research letters
44
(
2016
)
1
,
pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
Saved in:
144
On supremum-norm cost games
Meca, Ana
;
Sošić, Greys
- In:
Operations research letters
44
(
2016
)
1
,
pp. 54-58
Persistent link: https://www.econbiz.de/10011455558
Saved in:
145
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
Saved in:
146
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.
;
Zhu, Dan
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
Saved in:
147
A structural model for credit risk with switching processes and synchronous jumps
Hainaut, Donatien
;
Colwell, David B.
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 1040-1062
Persistent link: https://www.econbiz.de/10011715297
Saved in:
148
Computation of Greeks in LIBOR models driven by time : inhomogeneous
Lévy
processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
149
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere
;
SenGupta, Indranil
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011673089
Saved in:
150
Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere
;
SenGupta, Indranil
- In:
Annals of financial economics
11
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011685720
Saved in:
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