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~subject:"Markov chain"
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Markov chain
Simulation
19,791
Optionspreistheorie
14,726
Option pricing theory
14,268
Theorie
11,883
Theory
11,587
Monte Carlo simulation
6,203
Monte-Carlo-Simulation
5,637
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4,366
Volatility
4,295
Stochastischer Prozess
4,168
Stochastic process
4,101
Optionsgeschäft
2,884
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2,867
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2,519
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2,478
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2,475
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2,203
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2,163
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1,860
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1,831
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1,729
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1,672
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1,669
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1,650
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1,455
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1,319
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1,318
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1,295
Germany
1,271
Markov-Kette
1,261
Agentenbasierte Modellierung
1,223
Agent-based modeling
1,217
CAPM
1,168
Black-Scholes-Modell
1,115
Mathematische Optimierung
1,087
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1,084
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1,060
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1,059
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12
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Dijk, Herman K. van
20
Cui, Zhenyu
19
Tsionas, Efthymios G.
19
Elliott, Robert J.
18
Frühwirth-Schnatter, Sylvia
17
Siu, Tak Kuen
16
Chib, Siddhartha
14
Nguyen, Duy
14
Koopman, Siem Jan
13
Zhang, Xibin
13
Martin, Gael M.
12
Omori, Yasuhiro
12
Kohn, Robert
11
Koop, Gary
11
Chan, Leunglung
10
Gerlach, Richard
10
Leon-Gonzalez, Roberto
10
Li, Yong
10
Peters, Gareth
10
Yu, Jun
10
Boivin, Jean
9
Chen, Cathy W. S.
9
Forbes, Catherine Scipione
9
Hoogerheide, Lennart
9
Kirkby, Justin
9
Strachan, Rodney W.
9
Weber, Andrea
9
Winter-Ebmer, Rudolf
9
Bauwens, Luc
8
Bos, Charles S.
8
Li, Lingfei
8
Pamminger, Christoph
8
Robert, Christian P.
8
Shevchenko, Pavel V.
8
Kaufmann, Sylvia
7
King, Maxwell L.
7
Kirkby, J. Lars
7
Kneib, Thomas
7
Korobilis, Dimitris
7
Lesage, James P.
7
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National Bureau of Economic Research
3
Centre for Analytical Finance <Århus>
2
Econometrisch Instituut <Rotterdam>
2
University of British Columbia / Finance Division
2
University of Strathclyde / Department of Economics
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Centre for Growth and Business Cycle Research <Manchester>
1
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
1
Instituto Valenciano de Investigaciones Económicas
1
Massachusetts Institute of Technology / Department of Economics
1
Nationalekonomiska Institutionen <Lund>
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Springer International Publishing
1
Springer-Verlag GmbH
1
State University of New York at Albany / Department of Economics
1
Technische Hochschule Mittelhessen
1
University of Chicago / Graduate School of Business / Department of Economics
1
University of York / Department of Economics and Related Studies
1
Westfälische Wilhelms-Universität Münster
1
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Journal of econometrics
49
Discussion paper / Tinbergen Institute
29
International journal of theoretical and applied finance
27
European journal of operational research : EJOR
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Quantitative finance
20
Working paper / Department of Econometrics and Business Statistics, Monash University
19
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Insurance / Mathematics & economics
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Computational economics
14
Econometric reviews
13
International journal of forecasting
13
Energy economics
12
Journal of economic dynamics & control
11
Working paper
11
Economics letters
10
Finance research letters
10
Journal of forecasting
10
International journal of production research
9
Journal of the American Statistical Association : JASA
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Risks : open access journal
9
Finance and stochastics
8
Journal of applied econometrics
8
Journal of banking & finance
8
Journal of empirical finance
8
Annals of finance
7
Asia-Pacific financial markets
7
Economic modelling
7
Journal of risk and financial management : JRFM
7
The journal of computational finance
7
Applied mathematical finance
6
Econometric Institute research papers
6
GRIPS discussion papers
6
INFORMS journal on computing : JOC
6
Journal of mathematical finance
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Review of derivatives research
6
Review of quantitative finance and accounting
6
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ECONIS (ZBW)
1,255
RePEc
11
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1
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1
On the effective dimension and multilevel Monte Carlo
Kahalé, Nabil
- In:
Operations research letters
50
(
2022
)
4
,
pp. 415-421
Persistent link: https://www.econbiz.de/10013364126
Saved in:
2
Branching
particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
3
Leverage effect on stochastic volatility for option pricing in Hong Kong : a
simulation
and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
4
Randomized dimension reduction for Monte Carlo simulations
Kahalé, Nabil
- In:
Management science : journal of the Institute for …
66
(
2020
)
3
,
pp. 1421-1439
Persistent link: https://www.econbiz.de/10012234611
Saved in:
5
Default probability estimation via pair copula constructions
Dalla Valle, Luciana
;
De Giuli, Maria Elena
;
Tarantola, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Saved in:
6
Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.
;
Prasanna, P. Krishna
- In:
Finance research letters
25
(
2018
),
pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
Saved in:
7
A common jump factor stochastic volatility model
Laurini, Márcio Poletti
;
Mauad, Roberto Baltieri
- In:
Finance research letters
12
(
2015
),
pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
Saved in:
8
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.
;
Ramezani, Cyrus A.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
Saved in:
9
The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua
;
Xiao, Xueping
- In:
International journal of services technology and management
20
(
2014
)
1/2/3
,
pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
Saved in:
10
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
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