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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
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4
research-article
3
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1
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Language
All
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
11
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400
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11
Risk-neutral valuation of GLWB riders in variable annuities
Maggistro, Rosario
;
Zoccolan, Ivan
- In:
Insurance : mathematics and economics
114
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10015049347
Saved in:
12
Optimal dividends and capital injection : a general Lévy model with extensions to regime-switching models
Mata López, Dante
;
Noba, Kei
;
Pérez, José-Luis
; …
- In:
Insurance : mathematics and economics
119
(
2024
),
pp. 210-225
Persistent link: https://www.econbiz.de/10015067263
Saved in:
13
A simplified Wiener-Hopf factorization method for pricing double barrier options under
Lévy
processes
Kudryavtsev, Oleg
- In:
Computational management science
21
(
2024
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014636822
Saved in:
14
Pricing vulnerable spread options with liquidity risk under
Lévy
processes
Cai, Chengyou
;
Wang, Xingchun
;
Yu, Baimin
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014534807
Saved in:
15
Correlating
Lévy
processes
with self-decomposability : applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
2
,
pp. 1253-1280
Persistent link: https://www.econbiz.de/10012795133
Saved in:
16
Variance Gamma process in the option pricing model
Drahokoupil, Jakub
-
2021
Persistent link: https://www.econbiz.de/10012493120
Saved in:
17
A dynamic program under
Lévy
processes
for valuing corporate securities
Ben-Ameur, Hatem
;
Chérif, Rim
;
Rémillard, Bruno N.
- In:
Journal of risk
25
(
2023
)
4
,
pp. 61-81
Persistent link: https://www.econbiz.de/10014314624
Saved in:
18
On singular control for
Lévy
processes
Noba, Kei
;
Yamazaki, Kazutoshi
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1213-1234
Persistent link: https://www.econbiz.de/10014329210
Saved in:
19
Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang
;
Tang, Pan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
Saved in:
20
A dynamic program under
Lévy
processes
for valuing corporate securities
Ben-Ameur, Hatem
;
Chérif, Rim
;
Rémillard, Bruno N.
- In:
Journal of risk : JOR
25
(
2023
)
4
,
pp. 61-81
Persistent link: https://www.econbiz.de/10014487107
Saved in:
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