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Search: subject:"variance gamma"
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Option pricing theory
58
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58
Stochastic process
49
Stochastischer Prozess
49
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31
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27
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19
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variance gamma
16
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11
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10
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option pricing
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variance gamma model
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Madan, Dilip B.
23
Ivanov, Roman V.
8
Carr, Peter
5
Schoutens, Wim
5
Göncü, Ahmet
4
Wang, King
4
Aguilar, Jean-Philippe
3
Cao, Lingyan
3
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3
Madan, Dilip
3
Mercuri, Lorenzo
3
Neto, David
3
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3
Tichý, Tomáš
3
Yor, Marc
3
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2
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2
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2
Heidergott, Bernd
2
Hitaj, Asmerilda
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2
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2
Kozubowski, Tomasz J.
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Kuzubas, Tolga Umut
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2
LEVENDORSKIĬ, SERGEI
2
MADAN, DILIP B.
2
Madan, Dilip B
2
Mata, Leovardo
2
Mazur, Stepan
2
Michaelsen, Markus
2
Mozumder, Sharif
2
Murphy, Bernard
2
Naumann, Eva
2
Nzokem, Aubain Hilaire
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
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1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin"
1
Economics Department, Queen's University
1
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1
Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Tinbergen Instituut
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International journal of theoretical and applied finance
11
International Journal of Theoretical and Applied Finance (IJTAF)
8
International journal of financial engineering
5
Journal of Risk and Financial Management
4
The journal of computational finance
4
Annals of finance
3
Applied mathematical finance
3
Asia-Pacific financial markets
3
Journal of risk and financial management : JRFM
3
Quantitative finance
3
Risks : open access journal
3
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2
Applied Mathematical Finance
2
Asia-Pacific Financial Markets
2
Bogazici Journal of Economics and Administrative Sciences
2
Computational Statistics & Data Analysis
2
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2
Finance and Stochastics
2
Finance research letters
2
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2
Journal of banking & finance
2
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2
MPRA Paper
2
Management Science
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics and financial economics
2
Politická ekonomie
2
Risks
2
The North American journal of economics and finance : a journal of financial economics studies
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
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Accounting & Taxation
1
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of Finance
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Cahiers du Département d'Econométrie
1
Carlo Alberto Notebooks
1
Computational management science
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Computing in Economics and Finance 2003
1
Czech Journal of Economics and Finance (Finance a uver)
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
87
RePEc
45
EconStor
8
BASE
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Other ZBW resources
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51
A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd
;
Volk-Makarewicz, Warren
-
Tinbergen Instituut
-
2013
-asset option and a portfolio. In addition, we discuss application of our sensitivity estimator to the
Variance-Gamma
process and to …
Persistent link: https://www.econbiz.de/10011257156
Saved in:
52
Gas storage valuation under Lévy processes using the fast Fourier transform
Cummins, Mark
;
Kiely, Greg
;
Murphy, Bernard
- In:
The journal of energy markets
10
(
2017
)
4
,
pp. 43-86
Persistent link: https://www.econbiz.de/10011999471
Saved in:
53
Asymmetries in financial returns
Madan, Dilip B.
;
Wang, King
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011807103
Saved in:
54
Efficient estimation of expected stock price returns
Madan, Dilip B.
- In:
Finance research letters
23
(
2017
),
pp. 31-38
Persistent link: https://www.econbiz.de/10011808349
Saved in:
55
Enhancing enterprise value by trading options
Madan, Dilip B.
;
Sharaiha, Yazid M.
- In:
The journal of investment strategies
6
(
2017
)
4
,
pp. 47-80
Persistent link: https://www.econbiz.de/10011771270
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56
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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57
A note on the estimation of a gamma-variance process : learning from a failure
Cervellera, Gian P.
;
Tucci, Marco Paolo
- In:
Computational economics
49
(
2017
)
3
,
pp. 363-385
Persistent link: https://www.econbiz.de/10011762113
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58
Financial jeopardy
Madan, Dilip B.
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10011746988
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59
Local
variance
gamma
and explicit calibration to option prices
Carr, Peter
;
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 151-193
Persistent link: https://www.econbiz.de/10011739451
Saved in:
60
Conic portfolio theory
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011523770
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