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Search: subject:"OU processes"
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Econometrics
3
OU processes
3
Option pricing
3
Option pricing theory
3
Optionspreistheorie
3
Stochastic volatility
3
Background driving Levy process
2
Chronometer
2
Co-break
2
Derivat
2
Derivative
2
Kumulant function
2
Levy density
2
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2
Stochastischer Prozess
2
Background driving L´evy process
1
Credit risk
1
Energiemarkt
1
Energy market
1
Integrated volatility
1
Intergrated volatility
1
Kreditrisiko
1
Levy process
1
Long range dependence
1
L´evy density
1
L´evy process
1
Lévy-driven OU processes
1
Monte Carlo
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Particle filter
1
Simulation
1
Statistical distribution
1
Statistische Verteilung
1
Subordination
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Superposition
1
Swap
1
Time series analysis
1
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1
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English
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Barndorff-Nielsen, Ole E.
3
Shephard, Neil
2
Sabino, Piergiacomo
1
Shephard, Neil G.
1
Shirai, Yoshihiro
1
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Department of Economics, Oxford University
1
Economics Group, Nuffield College, University of Oxford
1
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Applied mathematical finance
1
Economics Papers / Economics Group, Nuffield College, University of Oxford
1
Economics Series Working Papers / Department of Economics, Oxford University
1
International journal of theoretical and applied finance : IJTAF
1
Mathematical finance
1
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ECONIS (ZBW)
3
RePEc
2
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A Lévy-Driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions
Shirai, Yoshihiro
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014500194
Saved in:
2
Exact simulation of variance gamma-related
OU
processes
: application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
3
Integrated
OU
Processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil
-
Economics Group, Nuffield College, University of Oxford
-
2001
results have many potential applications in financial economics, for
OU
processes
are used as models of instantaneous …
Persistent link: https://www.econbiz.de/10005812247
Saved in:
4
Integrated
OU
Processes
and non-Gaussian OU-based stochastic volatility models
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
-
Department of Economics, Oxford University
-
2001
many potential applications in financial economics, for
OU
processes
are used as models of instantaneous volatility in …
Persistent link: https://www.econbiz.de/10010820323
Saved in:
5
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581672
Saved in:
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