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  • Search: subject:"Levy Processes"
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Year of publication
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
Type of publication (narrower categories)
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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 Hochschulschrift 1
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Language
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English 240 Undetermined 163
Author
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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
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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
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RePEc 192 ECONIS (ZBW) 171 EconStor 20 BASE 14 Other ZBW resources 4 USB Cologne (EcoSocSci) 2
Showing 321 - 330 of 403
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and Stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10005061372
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PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
BOYARCHENKO, MITYA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1125-1170
We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...
Persistent link: https://www.econbiz.de/10008493065
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Pricing and capital requirements for with profit contracts: modelling considerations
Ballotta, Laura - In: Quantitative Finance 9 (2009) 7, pp. 803-817
The aim of this paper is to provide an assessment of alternative frameworks for the fair valuation of life insurance contracts with a predominant financial component, in terms of impact on the market consistent price of the contracts, the embedded options, and the capital requirements for the...
Persistent link: https://www.econbiz.de/10008466736
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Single name credit default swaptions meet single sided jump models
Jönsson, Henrik; Schoutens, Wim - In: Review of Derivatives Research 11 (2008) 1, pp. 153-169
Persistent link: https://www.econbiz.de/10005542786
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Consumption processes and positively homogeneous projection properties
Fischer, Tom - In: Finance and Stochastics 12 (2008) 3, pp. 357-380
Persistent link: https://www.econbiz.de/10005390642
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina - In: Finance and Stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10005390702
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Dependence properties and comparison results for Lévy processes
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Computational Statistics 67 (2008) 1, pp. 161-186
In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula …. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and …
Persistent link: https://www.econbiz.de/10010847741
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Dependence properties and comparison results for Lévy processes
Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Mathematical Methods of Operations Research 67 (2008) 1, pp. 161-186
In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula …. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and …
Persistent link: https://www.econbiz.de/10010999766
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Median, concentration and fluctuations for Lévy processes
Houdré, Christian; Marchal, Philippe - In: Stochastic Processes and their Applications 118 (2008) 5, pp. 852-863
We estimate a median of f(Xt) where f is a Lipschitz function, X is a Lévy process and t is an arbitrary time. This leads to concentration inequalities for f(Xt). In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular...
Persistent link: https://www.econbiz.de/10008875409
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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572
Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...
Persistent link: https://www.econbiz.de/10005046500
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