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Search: subject:"Levy Processes"
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Subject
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Lévy processes
233
Stochastischer Prozess
155
Stochastic process
149
Optionspreistheorie
128
Option pricing theory
127
Volatilität
49
Volatility
47
Levy processes
46
Theorie
29
Derivat
28
Derivative
28
Option pricing
26
Lévy Processes
24
Optionsgeschäft
24
Option trading
23
Theory
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
Yield curve
11
Zinsstruktur
11
multivariate subordinators
11
Barrier options
10
Dividend
10
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Online availability
All
Undetermined
236
Free
103
Type of publication
All
Article
294
Book / Working Paper
99
Other
5
Type of publication (narrower categories)
All
Article in journal
149
Aufsatz in Zeitschrift
149
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
235
Undetermined
163
Author
All
Yamazaki, Kazutoshi
17
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
Wu, Liuren
6
Fabozzi, Frank J.
5
Pérez, José-Luis
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)
166
EconStor
20
BASE
14
Other ZBW resources
4
USB Cologne (EcoSocSci)
2
Showing
51
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398
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51
Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
Saved in:
52
Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Roberts, Michael
;
SenGupta, Indranil
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 374-395
Persistent link: https://www.econbiz.de/10012501621
Saved in:
53
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
54
Modelling distributed decision-making in Command and Control using stochastic network synchronisation
Kalloniatis, Alexander C.
;
McLennan-Smith, Timothy A.
; …
- In:
European journal of operational research : EJOR
284
(
2020
)
2
,
pp. 588-603
Persistent link: https://www.econbiz.de/10012238763
Saved in:
55
Early exercise boundaries for American-style knock-out options
Nunes, Joaõ Pedro Vidal
;
Ruas, João Pedro
;
Dias, …
- In:
European journal of operational research : EJOR
285
(
2020
)
2
,
pp. 753-766
Persistent link: https://www.econbiz.de/10012239665
Saved in:
56
A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
Mba, Jules Clement
;
Mwambi, Sutene
- In:
Financial markets and portfolio management
34
(
2020
)
2
,
pp. 199-214
Persistent link: https://www.econbiz.de/10012289624
Saved in:
57
Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
Saved in:
58
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.
;
Marazzina, D.
;
Germano, G.
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
Saved in:
59
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola
;
Guerra, Manuel
;
Guerra, João
; …
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
Saved in:
60
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Baños, David
;
Bølviken, Erik
;
Duedahl, Sindre
; …
- In:
Scandinavian actuarial journal
2020
(
2020
)
1
,
pp. 44-83
Persistent link: https://www.econbiz.de/10012195019
Saved in:
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