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A dynamic program under Lévy p...
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CAPM
Stochastischer Prozess
17,240
Stochastic process
16,799
Optionspreistheorie
14,821
Theorie
14,609
Option pricing theory
14,362
Theory
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2,947
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2,928
Derivat
2,569
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2,508
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USA
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United States
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Estimation theory
1,337
Zinsstruktur
1,283
Yield curve
1,265
Markov chain
1,256
Markov-Kette
1,256
Black-Scholes-Modell
1,185
Börsenkurs
1,141
Black-Scholes model
1,129
Share price
1,103
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1,088
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23
Lee, Cheng F.
15
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13
Jacobs, Kris
12
Fabozzi, Frank J.
11
Campbell, John Y.
9
Christoffersen, Peter F.
9
Elliott, Robert J.
9
Escobar, Marcos
9
Guidolin, Massimo
9
Lo, Andrew W.
9
Macrina, Andrea
9
Feunou, Bruno
8
Rosenberg, Joshua V.
7
Bayraktar, Erhan
6
Bellalah, Mondher
6
Branger, Nicole
6
Crosby, John
6
Duffie, Darrell
6
Engle, Robert F.
6
Giglio, Stefano
6
Heston, Steven L.
6
Lee, John C.
6
Post, Thierry
6
Račev, Svetlozar T.
6
Asea, Patrick K.
5
Barone-Adesi, Giovanni
5
Carr, Peter
5
Fournier, Mathieu
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Garcia, René
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Geman, Hélyette
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Gouriéroux, Christian
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Jackwerth, Jens Carsten
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Jarrow, Robert A.
5
Jeanblanc, Monique
5
Kim, Young Shin
5
Linetsky, Vadim
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Ncube, Mthuli
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Pan, Jun
5
Platen, Eckhard
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
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Universität Passau / Wirtschaftswissenschaftliche Fakultät
1
Workshop on Mathematical Finance <2000, Konstanz>
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International journal of theoretical and applied finance
35
Journal of economic dynamics & control
24
Finance and stochastics
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
23
Quantitative finance
20
Journal of banking & finance
19
Journal of financial economics
19
NBER working paper series
19
Journal of mathematical finance
17
The journal of finance : the journal of the American Finance Association
17
Annals of finance
16
Finance research letters
16
The European journal of finance
16
Research paper series / Swiss Finance Institute
15
Applied mathematical finance
14
European journal of operational research : EJOR
13
Asia-Pacific financial markets
12
NBER Working Paper
12
Working paper / National Bureau of Economic Research, Inc.
12
Review of derivatives research
11
The review of financial studies
11
Computational economics
10
International journal of financial engineering
10
Journal of econometrics
10
Mathematics and financial economics
10
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Risks : open access journal
9
Swiss Finance Institute Research Paper
9
Review of quantitative finance and accounting
8
The journal of derivatives : the official publication of the International Association of Financial Engineers
8
Insurance / Mathematics & economics
7
International review of financial analysis
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of empirical finance
7
Staff working paper / Bank of Canada
7
Economic modelling
6
Economics letters
6
Journal of risk and financial management : JRFM
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Quantitative economics : QE ; journal of the Econometric Society
6
The journal of futures markets
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ECONIS (ZBW)
1,422
OLC EcoSci
4
EconStor
1
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1
Option pricing for symmetric Lévy returns with applications
Hamza, Kais
;
Klebaner, Fima C.
;
Landsman, Zinoviy
;
Tan, …
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
Saved in:
2
A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
Saved in:
3
Determination of the Lévy exponent in asset pricing models
Bouzianis, George
;
Hughston, Lane P.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
Saved in:
4
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
5
On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
Knudsen, Thomas S.
;
Meister, Bernhard
;
Zervos, Mihail
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10001412177
Saved in:
6
Inter-temporal optimization in a stochastic evironment : special section
Stein, Jerome L.
(
contributor
);
Zheng, Ziyu
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003461125
Saved in:
7
Necessity of transversality conditions for stochastic problems
Kamihigashi, Takashi
- In:
Journal of economic theory
109
(
2003
)
1
,
pp. 140-149
Persistent link: https://www.econbiz.de/10001759582
Saved in:
8
Computational methods for production-based asset pricing models with recursive utility
Aldrich, Eric Mark
;
Kung, Howard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012437836
Saved in:
9
The pricing of contingent claims written on bonds by simulation of bond price processes : version 2.0
Miltersen, Kristian R.
;
Nielsen, Lars
-
1989
Persistent link: https://www.econbiz.de/10000775498
Saved in:
10
Option pricing with stochastic bond prices
Solnik, Bruno
;
Henrotte, Philippe
-
1989
Persistent link: https://www.econbiz.de/10000759158
Saved in:
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