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A dynamic program under Lévy p...
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Derivative
Stochastischer Prozess
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Benth, Fred Espen
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Härdle, Wolfgang
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Fabozzi, Frank J.
15
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Packham, Natalie
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Springer Fachmedien Wiesbaden
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
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International journal of theoretical and applied finance
112
Applied mathematical finance
64
Review of derivatives research
46
Quantitative finance
44
European journal of operational research : EJOR
34
The journal of computational finance
34
Journal of banking & finance
33
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32
The journal of futures markets
32
International journal of financial engineering
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Energy economics
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Journal of economic dynamics & control
24
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Finance research letters
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Journal of econometrics
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SpringerLink / Bücher
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Computational economics
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Insurance / Mathematics & economics
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International review of financial analysis
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Applied economics letters
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International review of economics & finance : IREF
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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SFB 649 discussion paper
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Journal of financial economics
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1
Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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2
Noninvasive test scheudling in live electricity markets at Transpower New Zealand
Batstone, Steve
;
Pritchard, Geoff
;
Zakeri, Golbon
- In:
Interfaces : the INFORMS journal on the practice of …
46
(
2016
)
6
,
pp. 482-492
Persistent link: https://www.econbiz.de/10011626256
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3
On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan
;
Krühner, Paul
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
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4
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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5
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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6
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin
;
Xu, Chenglong
;
Fu, Michael
- In:
Operations research letters
44
(
2016
)
1
,
pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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7
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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8
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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9
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
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10
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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