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Year of publication
Subject
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Local time 42 local time 25 Brownian motion 17 Stochastic process 17 Stochastischer Prozess 17 Integrated process 13 Option pricing theory 11 Optionspreistheorie 11 Theorie 10 Brownian local time 9 Theory 9 Nonparametric regression 8 local time-space calculus 8 Integrable function 7 Mixed normality 7 Nonlinear cointegration 7 Search theory 7 Suchtheorie 7 optimal stopping 7 Volatility 6 Volatilität 6 free-boundary problem 6 Cointegration 5 Functional regression 5 Integrated time series 5 Nonparametric estimation 5 Option trading 5 Optionsgeschäft 5 Skew Brownian motion 5 Unit root 5 Zeitreihenanalyse 5 arbitrage-free price 5 geometric Brownian motion 5 nonlinear integral equation 5 Mathematical programming 4 Mathematische Optimierung 4 Schätztheorie 4 Stochastic differential equation 4 Time series analysis 4 diffusion process 4
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Online availability
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Undetermined 67 Free 41
Type of publication
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Article 76 Book / Working Paper 46 Other 1
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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Undetermined 70 English 53
Author
All
Phillips, Peter C.B. 20 Park, Joon Y. 12 Kasparis, Ioannis 7 Kitapbayev, Yerkin 6 Phillips, Peter C. B. 6 Wang, Qiying 5 Gapeev, Pavel V. 4 Ouknine, Y. 4 Gao, Jiti 3 Magdalinos, Tassos 3 Peskir, Goran 3 Bandi, Federico M. 2 Cai, Zongwu 2 Chang, Yoosoon 2 Cizek, Pavel 2 De Angelis, Tiziano 2 De Schepper, Ann 2 Decamps, Marc 2 Filipović, Damir 2 Ghomrasni, Raouf 2 Goovaerts, Marc 2 Honda, Toshio 2 Hu, Ling 2 Härdle, Wolfgang 2 Leung, Tim 2 Liu, Zhi 2 Spokoiny, Vladimir 2 Whang, Yoon-Jae 2 AL-FAGIH, LULUWAH 1 Agram, Nacira 1 Al-Fagih, Luluwah 1 Andersen, Leif 1 Andreasen, Jesper 1 Atar, Rami 1 Athreya, K. B. 1 Athreya, Krishna B. 1 Aït-Sahalia, Yacine 1 Bardou, Olivier 1 Becherer, Dirk 1 Benchérif-Madani, Abdelatif 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 19 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 5 Institute for Economic Research, Division of Economics 3 Department of Econometrics and Business Statistics, Monash Business School 2 University of Cyprus Department of Economics 2 EconWPA 1 Econometric Society 1 Finance Discipline Group, Business School 1 Institute of Economic Research, Hitotsubashi University 1 School of Economics, Singapore Management University 1 Tilburg University, Center for Economic Research 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
All
Cowles Foundation Discussion Papers 19 Stochastic Processes and their Applications 16 Statistics & Probability Letters 12 Statistical Inference for Stochastic Processes 6 Finance and Stochastics 5 SFB 649 Discussion Papers 5 International journal of theoretical and applied finance 4 International Journal of Theoretical and Applied Finance (IJTAF) 3 Working Paper Series / Institute for Economic Research, Division of Economics 3 Applied mathematical finance 2 Finance and stochastics 2 Journal of Econometrics 2 Journal of econometrics 2 Mathematical finance : an international journal of mathematics, statistics and financial economics 2 Monash Econometrics and Business Statistics Working Papers 2 Physica A: Statistical Mechanics and its Applications 2 Quantitative finance 2 SFB 649 Discussion Paper 2 University of Cyprus Working Papers in Economics 2 Annals of finance 1 Annals of the Institute of Statistical Mathematics 1 Carlo Alberto notebooks 1 Cowles Foundation discussion paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Econometric Society 2004 North American Winter Meetings 1 Econometric reviews 1 Econometrics Journal 1 Far East Journal of Psychology and Business 1 Finance 1 Global COE Hi-Stat Discussion Paper Series 1 Journal of Multivariate Analysis 1 Journal of mathematical finance 1 MPRA Paper 1 Market microstructure and liquidity 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics and financial economics 1 Mathematics of operations research 1 Operations research 1 Research Paper Series / Finance Discipline Group, Business School 1
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Source
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RePEc 92 ECONIS (ZBW) 26 EconStor 3 BASE 1 Other ZBW resources 1
Showing 1 - 10 of 123
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Arbitrage problems with reflected geometric Brownian motion
Buckner, Dean; Dowd, Kevin; Hulley, Hardy - In: Finance and stochastics 28 (2024) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10014447570
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A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying; Phillips, Peter C. B. - 2022
Persistent link: https://www.econbiz.de/10013326692
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Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
De Angelis, Tiziano - 2022
Persistent link: https://www.econbiz.de/10013331014
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A financial market with singular drift and no arbitrage
Agram, Nacira; Øksendal, Bernt K. - In: Mathematics and financial economics 15 (2021) 3, pp. 477-500
Persistent link: https://www.econbiz.de/10012586178
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Protecting pegged currency markets from speculative investors
Neuman, Eyal; Schied, Alexander - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 405-420
Persistent link: https://www.econbiz.de/10012815970
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Nonparametric estimation of jump diffusion models
Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
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A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - 2016
we tackle by the local time-space calculus. We characterize the optimal stopping boundary as the unique solution to a …
Persistent link: https://www.econbiz.de/10011516038
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Optimal mean-variance portfolio selection with no-short-selling constraint
Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10012496930
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