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The Bayesian methods of jump d...
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Option pricing theory
Bayesian inference
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Bayes-Statistik
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MCMC methods
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Stochastischer Prozess
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double exponential jump diffusion model
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latent variables
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gas forward prices
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incomplete markets
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Kostrzewski, Maciej
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Central European journal of economic modelling and econometrics
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Bayesian DEJD model and detection of asymmetry in jump sizes
Kostrzewski, Maciej
- In:
Central European journal of economic modelling and …
7
(
2015
)
1
,
pp. 43-70
Persistent link: https://www.econbiz.de/10011305742
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Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Kostrzewski, Maciej
- In:
Central European journal of economic modelling and …
8
(
2016
)
3
,
pp. 161-179
Persistent link: https://www.econbiz.de/10011634897
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