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Statistische Verteilung
Stochastischer Prozess
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Chang, Chia-Lin
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Springer International Publishing
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Suntory-Toyota International Centre for Economics and Related Disciplines
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Journal of econometrics
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Insurance / Mathematics & economics
37
International journal of theoretical and applied finance
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Risks : open access journal
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European journal of operational research : EJOR
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International journal of forecasting
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Scandinavian actuarial journal
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Astin bulletin : the journal of the International Actuarial Association
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Economics letters
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International journal of financial engineering
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Operations research letters
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International journal of production research
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The North American journal of economics and finance : a journal of financial economics studies
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Econometric reviews
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Operations research
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Journal of risk and financial management : JRFM
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Mathematics of operations research
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Research paper series / Swiss Finance Institute
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Review of quantitative finance and accounting
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Applied economics
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CREATES research paper
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ECONIS (ZBW)
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1
Multivariate tempered stable additive subordination for financial models
Semeraro, Patrizia
- In:
Mathematics and financial economics
16
(
2022
)
4
,
pp. 685-712
Persistent link: https://www.econbiz.de/10013438877
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2
Analytical valuation of autocallable notes
Guillaume, Tristan
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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3
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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4
Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
Wu, Yang-che
;
Liao, Szu-Lang
;
Shyu, So-de
- In:
Insurance / Mathematics & economics
44
(
2009
)
1
,
pp. 95-102
Persistent link: https://www.econbiz.de/10009517655
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5
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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6
Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen
;
Huang, Hong-Chih
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
2
,
pp. 501-525
Persistent link: https://www.econbiz.de/10011729607
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7
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
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8
Conditional law of the hitting time for a Lévy process in incomplete observation
Ngom, Waly
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 505-524
Persistent link: https://www.econbiz.de/10011440708
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9
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Grabchak, Michael
- In:
Annals of finance
10
(
2014
)
4
,
pp. 553-568
Persistent link: https://www.econbiz.de/10010463508
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10
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
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