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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Portfolio-Management
69
Portfolio selection
68
Theorie
61
Theory
61
Option pricing theory
16
Optionspreistheorie
16
Derivat
15
Derivative
15
Credit risk
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Kreditrisiko
14
Stochastic process
14
Volatility
13
Volatilität
13
Risikomanagement
12
Capital income
9
Kapitaleinkommen
9
Markov chain
9
Markov-Kette
9
Risk management
9
Correlation
8
Korrelation
8
Anlageverhalten
7
Behavioural finance
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CAPM
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Kapitalanlage
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Risikomaß
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Risk measure
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Asset-Backed Securities
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Asset-backed securities
6
Financial investment
6
Hedging
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Mathematical programming
6
Mathematische Optimierung
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Option trading
6
Optionsgeschäft
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Performance measurement
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Performance-Messung
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English
14
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Zagst, Rudi
14
Escobar, Marcos
10
Götz, Barbara
4
Neykova, Daniela
2
Seco, Luis
2
Bergen, V.
1
Borchert, Lea
1
Friedrich, Tim
1
Goetz, Barbara
1
Höcht, Stephan
1
Krause, Daniel
1
Kschonnek, M.
1
Panz, Sven
1
Rubtsov, A.
1
Sviščuk, Anatolij
1
Swishchuk, Anatoliy V.
1
Zeller, Gabriela
1
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Applied mathematical finance
3
Quantitative finance
2
Review of derivatives research
2
The journal of computational finance
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
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Journal / The Capco Institute : journal of financial transformation
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ECONIS (ZBW)
14
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1
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Saved in:
2
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Saved in:
3
Two asset-barrier option under stochastic volatility
Goetz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 520-546
Persistent link: https://www.econbiz.de/10011815295
Saved in:
4
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
Saved in:
5
Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos
;
Krause, Daniel
;
Zagst, Rudi
- In:
Review of derivatives research
19
(
2016
)
3
,
pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
Saved in:
6
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Saved in:
7
Using scenario analysis for risk management
Zagst, Rudi
- In:
Allgemeines statistisches Archiv : AStA ; journal of …
86
(
2002
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10001650473
Saved in:
8
Pricing distressed CDOs with stochastic recovery
Höcht, Stephan
;
Zagst, Rudi
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
Saved in:
9
A general structural approach for credit modeling under stochastic volatility
Escobar, Marcos
;
Friedrich, Tim
;
Seco, Luis
;
Zagst, Rudi
- In:
Journal / The Capco Institute : journal of financial …
32
(
2011
),
pp. 123-132
Persistent link: https://www.econbiz.de/10009629244
Saved in:
10
Pricing of spread options on stochastically correlated underlyings
Escobar, Marcos
;
Götz, Barbara
;
Seco, Luis
;
Zagst, Rudi
- In:
The journal of computational finance
12
(
2009
)
3
,
pp. 31-61
Persistent link: https://www.econbiz.de/10009534616
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