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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Simulation
20,265
Optionspreistheorie
14,760
Option pricing theory
14,302
Theorie
11,904
Theory
11,608
Monte Carlo simulation
6,273
Monte-Carlo-Simulation
5,655
Volatilität
4,386
Volatility
4,315
Stochastic process
4,116
Optionsgeschäft
2,897
Option trading
2,880
simulation
2,544
Derivat
2,491
Derivative
2,488
Schätztheorie
2,210
Estimation theory
2,170
Schätzung
1,865
Estimation
1,837
USA
1,734
Portfolio-Management
1,673
United States
1,673
Portfolio selection
1,654
Deutschland
1,457
Prognoseverfahren
1,324
Hedging
1,323
Forecasting model
1,301
Germany
1,274
Markov chain
1,270
Markov-Kette
1,265
Agentenbasierte Modellierung
1,225
Agent-based modeling
1,219
CAPM
1,170
Black-Scholes-Modell
1,120
Mathematische Optimierung
1,090
Mathematical programming
1,087
Black-Scholes model
1,065
Zinsstruktur
1,061
Yield curve
1,048
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Undetermined
1,356
Free
1,345
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Article
2,599
Book / Working Paper
1,583
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Article in journal
2,461
Aufsatz in Zeitschrift
2,461
Working Paper
553
Graue Literatur
546
Non-commercial literature
546
Arbeitspapier
501
Aufsatz im Buch
129
Book section
129
Hochschulschrift
116
Thesis
85
Lehrbuch
39
Textbook
35
Conference paper
28
Konferenzbeitrag
28
Forschungsbericht
16
Collection of articles of several authors
14
Sammelwerk
14
Collection of articles written by one author
9
Sammlung
9
Amtsdruckschrift
8
Aufsatzsammlung
8
Government document
8
Bibliografie enthalten
7
Bibliography included
7
Einführung
4
Mehrbändiges Werk
4
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4
Reprint
4
Systematic review
4
Übersichtsarbeit
4
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3
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3
Glossary included
3
Accompanied by computer file
2
Case study
2
Elektronischer Datenträger als Beilage
2
Fallstudie
2
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2
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1
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1
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English
4,105
German
75
Undetermined
2
Romanian
1
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Cui, Zhenyu
37
Chiarella, Carl
29
Takahashi, Akihiko
27
Koopman, Siem Jan
25
Carr, Peter
23
Nguyen, Duy
23
Madan, Dilip B.
22
Kleijnen, Jack P. C.
21
Elliott, Robert J.
19
Hainaut, Donatien
19
Alòs, Elisa
18
Fabozzi, Frank J.
18
Oosterlee, Cornelis W.
18
Escobar, Marcos
17
Platen, Eckhard
16
Wang, Xingchun
16
Kim, Young Shin
15
Kohlmann, Michael
15
Lorig, Matthew
15
Fouque, Jean-Pierre
14
Grasselli, Martino
14
Jacquier, Antoine (Jack)
14
Benth, Fred Espen
13
Forde, Martin
13
Grzelak, Lech A.
13
Hess, Markus
13
Kang, Boda
13
Kirkby, Justin
13
Levendorskij, Sergej Z.
13
Schoutens, Wim
13
Shiraya, Kenichiro
13
Siu, Tak Kuen
13
Wong, Hoi Ying
13
Yamada, Toshihiro
13
Yamazaki, Akira
13
Ziveyi, Jonathan
13
Eberlein, Ernst
12
Forbes, Catherine Scipione
12
Gatheral, Jim
12
Kirkby, J. Lars
12
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National Bureau of Economic Research
6
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
Centre for Analytical Finance <Århus>
3
Center for Economic Research <Tilburg>
2
Chambre de commerce et d'industrie de Paris
2
Queen Mary College / Department of Economics
2
Walter de Gruyter GmbH & Co. KG
2
Weierstraß-Institut für Angewandte Analysis und Stochastik
2
Australian National University / Faculty of Economics and Commerce
1
Bachelier Finance Society
1
Centre for Economic Policy Research
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Eberhard Karls Universität Tübingen
1
Econometrisch Instituut <Rotterdam>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Federal Reserve Bank of Cleveland
1
IGI Global
1
Institutionen för Skogsekonomi <Ume°a>
1
International Center for Financial Asset Management and Engineering
1
National Institute of Economic and Social Research
1
Society of Actuaries
1
Springer Fachmedien Wiesbaden
1
Springer International Publishing
1
Springer-Verlag GmbH
1
Swiss Finance Institute
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
University of Exeter / Department of Economics
1
Universität Ulm
1
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Published in...
All
International journal of theoretical and applied finance
211
European journal of operational research : EJOR
109
Quantitative finance
107
The journal of computational finance
92
Applied mathematical finance
87
Finance and stochastics
85
Insurance / Mathematics & economics
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
64
International journal of financial engineering
59
Computational economics
57
Journal of mathematical finance
50
Risks : open access journal
49
Journal of economic dynamics & control
43
Review of derivatives research
41
The journal of futures markets
40
Finance research letters
39
Journal of econometrics
38
Journal of banking & finance
34
The North American journal of economics and finance : a journal of financial economics studies
34
Discussion paper / Tinbergen Institute
32
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
30
Annals of finance
28
Journal of risk and financial management : JRFM
28
International journal of production research
26
Operations research
26
Asia-Pacific financial markets
25
Research paper series / Swiss Finance Institute
24
Economic modelling
23
Energy economics
22
Mathematics of operations research
22
The European journal of finance
21
Mathematical finance : an international journal of mathematics, statistics and financial economics
20
Operations research letters
20
Econometric reviews
19
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Computers & operations research : and their applications to problems of world concern ; an international journal
18
INFORMS journal on computing : JOC
18
SFB 649 discussion paper
18
Applied economics
17
International journal of production economics
16
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Source
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ECONIS (ZBW)
4,118
EconStor
52
USB Cologne (EcoSocSci)
12
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1
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10
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1
JDOI variance reduction method and the pricing of American-style options
Auster, Johan
;
Mathys, Ludovic
;
Maeder, Fabio
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
Saved in:
2
Geometrically convergent
simulation
of the extrema of Lévy processes
González Cázares, Jorge Ignacio
;
Mijatović, Aleksandar
; …
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
Saved in:
3
Simulation
of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatovi´c, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
Saved in:
4
An improved averaged two-replication procedure with Latin hypercube sampling
Bayraksan, Güzin
- In:
Operations research letters
46
(
2018
)
2
,
pp. 173-178
Persistent link: https://www.econbiz.de/10011824808
Saved in:
5
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
6
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
7
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
Saved in:
8
Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling
;
Lai, Yongzeng
;
Zhang, Shuhua
;
Li, Lin
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 602-621
Persistent link: https://www.econbiz.de/10012120139
Saved in:
9
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi
;
Lai, Yongzeng
;
Li, Lin
;
Tan, Vinna
- In:
Finance research letters
34
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Saved in:
10
American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
Saved in:
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