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A dynamic program under Lévy p...
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Markov chain
Stochastischer Prozess
17,240
Stochastic process
16,799
Optionspreistheorie
14,821
Theorie
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Option pricing theory
14,362
Theory
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USA
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Schätztheorie
1,362
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Markov-Kette
1,256
Black-Scholes-Modell
1,185
Börsenkurs
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Elliott, Robert J.
27
Siu, Tak Kuen
23
Cui, Zhenyu
19
Nguyen, Duy
14
Chan, Leunglung
11
Rady, Sven
10
Keller, Godfrey
9
Kirkby, Justin
9
Sethi, Suresh
9
Li, Lingfei
8
Zhang, Qing
8
Chib, Siddhartha
7
Forbes, Catherine Scipione
7
Kirkby, J. Lars
7
Martin, Gael M.
7
Balbus, Lukasz
6
Hainaut, Donatien
6
Lunday, Brian J.
6
Maneesoonthorn, Worapree
6
Robbins, Matthew J.
6
Rodriguez, Gabriel
6
Shen, Yang
6
Shephard, Neil G.
6
Zhang, Gongqiu
6
Zhu, Song-Ping
6
Casarin, Roberto
5
Chen, Son-nan
5
Chiarella, Carl
5
Fabozzi, Frank J.
5
Ferrari, Giorgio
5
Kang, Boda
5
Kolkiewicz, Adam W.
5
León-González, Roberto
5
Ma, Jingtang
5
Mamon, Rogemar S.
5
Men, Zhongxian
5
Omori, Yasuhiro
5
Platen, Eckhard
5
Rodrigues, Paulo Jorge Maurício
5
Seeger, Norman
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Centro de Estudos e Formação Avançada em Gestão e Economia (CEFAGE-UE), Universidade de Évora
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Judge Institute of Management Studies
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Massachusetts Institute of Technology
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Springer-Verlag GmbH
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European journal of operational research : EJOR
73
International journal of theoretical and applied finance
35
Operations research
29
Insurance / Mathematics & economics
27
Mathematics of operations research
24
Quantitative finance
20
International journal of production research
19
Mathematical methods of operations research
19
Finance and stochastics
18
Journal of econometrics
16
Computational economics
13
Computers & operations research : and their applications to problems of world concern ; an international journal
13
Operations research letters
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Annals of operations research
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Economic modelling
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Finance research letters
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Journal of economic dynamics & control
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Risks : open access journal
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Asia-Pacific financial markets
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Energy economics
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International journal of production economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Mathematical methods of operations research : ZOR
10
Annals of finance
9
Journal of mathematical finance
9
Applied mathematical finance
8
Econometric reviews
8
Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Journal of risk and financial management : JRFM
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Review of derivatives research
8
Review of quantitative finance and accounting
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
8
INFORMS journal on computing : JOC
7
Journal of empirical finance
7
The journal of computational finance
7
Health care management science
6
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ECONIS (ZBW)
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EconStor
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RePEc
1
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1
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
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2
Optimal production and admission control for a stochastic SOM system with demands for product and PSS
Wang, Kangzhou
;
Jiang, Zhibin
;
Li, Na
;
Geng, Na
- In:
International journal of production research
51
(
2013
)
23/24
,
pp. 7270-7288
Persistent link: https://www.econbiz.de/10010229337
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3
Evaluation of photovoltaic storage systems on energy markets under uncertainty using stochastic dynamic programming
Keles, Dogan
;
Dehler-Holland, Joris
- In:
Energy economics
106
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013202117
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4
Dynamic project expediting : a stochastic shortest-path approach
Bertazzi, Luca
;
Mogre, Riccardo
;
Trichakis, Nikolaos
- In:
Management science : journal of the Institute for …
70
(
2024
)
6
,
pp. 3748-3768
Persistent link: https://www.econbiz.de/10014551986
Saved in:
5
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
Saved in:
6
Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô
;
Macrina, Andrea
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10009562139
Saved in:
7
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
Saved in:
8
A structural model for credit risk with switching processes and synchronous jumps
Hainaut, Donatien
;
Colwell, David B.
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 1040-1062
Persistent link: https://www.econbiz.de/10011715297
Saved in:
9
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola
;
Guerra, Manuel
;
Guerra, João
; …
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
Saved in:
10
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Ai, Meiqiao
;
Zhang, Zhimin
;
Zhu, Dan
- In:
Scandinavian actuarial journal
2023
(
2023
)
4
,
pp. 330-358
Persistent link: https://www.econbiz.de/10014336388
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