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A dynamic program under Lévy p...
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Volatilität
Stochastischer Prozess
17,105
Stochastic process
16,665
Optionspreistheorie
14,743
Theorie
14,511
Option pricing theory
14,285
Theory
14,134
Volatility
5,853
Dynamic programming
3,798
Dynamische Optimierung
3,526
Mathematische Optimierung
3,066
Mathematical programming
3,051
Optionsgeschäft
2,916
Option trading
2,897
Derivat
2,543
Derivative
2,539
Portfolio-Management
2,484
Portfolio selection
2,463
Schätzung
2,237
Estimation
2,175
Zeitreihenanalyse
1,542
Time series analysis
1,493
Hedging
1,457
USA
1,455
Risiko
1,427
CAPM
1,418
Risk
1,414
United States
1,400
Schätztheorie
1,338
Estimation theory
1,313
Zinsstruktur
1,276
Yield curve
1,258
Markov chain
1,250
Markov-Kette
1,250
Black-Scholes-Modell
1,169
Börsenkurs
1,127
Black-Scholes model
1,113
Share price
1,089
Statistische Verteilung
1,084
Statistical distribution
1,064
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Free
2,342
Undetermined
1,616
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Article
3,256
Book / Working Paper
2,704
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Article in journal
3,104
Aufsatz in Zeitschrift
3,104
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1,004
Graue Literatur
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Non-commercial literature
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Arbeitspapier
931
Aufsatz im Buch
144
Book section
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Hochschulschrift
134
Thesis
101
Collection of articles of several authors
24
Sammelwerk
24
Collection of articles written by one author
23
Sammlung
23
Conference paper
19
Konferenzbeitrag
19
Bibliografie enthalten
13
Bibliography included
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Forschungsbericht
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Aufsatzsammlung
10
Lehrbuch
9
Amtsdruckschrift
8
Government document
8
Textbook
8
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6
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Dissertation u.a. Prüfungsschriften
4
Handbook
4
Handbuch
4
Konferenzschrift
4
Accompanied by computer file
2
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2
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2
Rezension
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English
5,883
German
75
French
3
Spanish
1
Undetermined
1
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McAleer, Michael
71
Cui, Zhenyu
45
Asai, Manabu
40
Koopman, Siem Jan
38
Todorov, Viktor
38
Härdle, Wolfgang
37
Chan, Joshua
33
Chiarella, Carl
33
Jacobs, Kris
28
Carr, Peter
27
Escobar, Marcos
26
Jacquier, Antoine (Jack)
26
Clark, Todd E.
25
Mumtaz, Haroon
25
Tauchen, George Eugene
25
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Andersen, Torben
22
Benth, Fred Espen
22
Christoffersen, Peter F.
22
Fouque, Jean-Pierre
22
Gatheral, Jim
22
Takahashi, Akihiko
22
Bos, Charles S.
21
Nguyen, Duy
21
Alòs, Elisa
20
Fengler, Matthias R.
20
Hafner, Christian M.
20
Lorig, Matthew
20
Martin, Gael M.
20
Zhang, Jin E.
20
Branger, Nicole
19
Carriero, Andrea
19
Grasselli, Martino
19
Guyon, Julien
19
Platen, Eckhard
19
Renò, Roberto
19
Schlag, Christian
19
Wong, Hoi Ying
19
Yu, Jun
19
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National Bureau of Economic Research
27
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Centre for Analytical Finance <Århus>
9
Institut für Schweizerisches Bankwesen <Zürich>
6
Chambre de commerce et d'industrie de Paris
4
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
4
Nuffield College
3
Svenska Handelshögskolan <Helsinki>
3
Centre of Financial Studies
2
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
International Center for Financial Asset Management and Engineering
2
National Centre of Competence in Research - Financial Valuation and Risk Management
2
University of Canterbury / Dept. of Economics and Finance
2
Banque de France / Direction des Etudes Economiques et de la Recherche
1
Berliner Wissenschafts-Verlag
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Danmarks Nationalbank
1
Econometrisch Instituut <Rotterdam>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Erasmus Research Institute of Management
1
Federal Reserve Bank of Cleveland
1
Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
1
FernUniversität in Hagen
1
Hochschule für Bankwirtschaft
1
Institute of Finance and Accounting <London>
1
International Center for Financial Asset Management and Engineering <Genève>
1
Karlsruher Institut für Technologie
1
Melbourne Business School
1
Queen Mary College / Department of Economics
1
Rodney L. White Center for Financial Research
1
Springer Fachmedien Wiesbaden
1
Technische Hochschule Mittelhessen
1
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
University of British Columbia / Finance Division
1
University of Chicago / Graduate School of Business
1
University of Exeter / Department of Economics
1
Universität Ulm
1
Université de Montréal / Département de sciences économiques
1
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Published in...
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International journal of theoretical and applied finance
178
Quantitative finance
124
Journal of econometrics
122
Journal of banking & finance
90
Applied mathematical finance
88
The journal of futures markets
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
71
Discussion paper / Tinbergen Institute
65
Finance and stochastics
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Finance research letters
56
Computational economics
55
Journal of economic dynamics & control
54
Review of derivatives research
52
International journal of financial engineering
51
European journal of operational research : EJOR
48
Working paper
46
Econometric reviews
45
Journal of mathematical finance
45
Journal of empirical finance
44
The North American journal of economics and finance : a journal of financial economics studies
44
Risks : open access journal
42
Research paper series / Swiss Finance Institute
41
Insurance / Mathematics & economics
39
Annals of finance
38
Energy economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Economics letters
34
Applied economics
33
Journal of financial economics
33
The European journal of finance
32
CREATES research paper
31
Economic modelling
29
International review of economics & finance : IREF
29
Journal of risk and financial management : JRFM
29
Review of quantitative finance and accounting
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
NBER working paper series
26
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Source
All
ECONIS (ZBW)
5,863
EconStor
73
USB Cologne (business full texts)
15
USB Cologne (EcoSocSci)
9
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1
Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 58-66
Persistent link: https://www.econbiz.de/10010402734
Saved in:
2
Partial hedging in a stochastic volatility environment
Jonsson, Mattias
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 375-409
Persistent link: https://www.econbiz.de/10001741949
Saved in:
3
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
4
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
Saved in:
5
On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan
;
Krühner, Paul
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 583-615
Persistent link: https://www.econbiz.de/10011418308
Saved in:
6
Options pricing with time changed Lévy processes under imprecise information
Feng, Zhi-Yuan
;
Cheng, Johnson T.-S.
;
Liu, Yu-Hong
; …
- In:
Fuzzy optimization and decision making : a journal of …
14
(
2015
)
1
,
pp. 97-119
Persistent link: https://www.econbiz.de/10011313098
Saved in:
7
Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus
;
Schmid, Thomas
;
Weber, Florian
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 292-315
Persistent link: https://www.econbiz.de/10010528197
Saved in:
8
U.S. stock market crash risk, 1926–2010
Bates, David S.
- In:
Journal of financial economics
105
(
2012
)
2
,
pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
Saved in:
9
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
10
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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