//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Arai, Takuji"
~person:"Siu, Tak Kuen"
~type:"article"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Martingal"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Martingal
11
Martingale
11
Option pricing theory
9
Optionspreistheorie
9
CAPM
4
Incomplete market
4
Markov chain
4
Markov-Kette
4
Stochastic process
4
Stochastischer Prozess
4
Unvollkommener Markt
4
Derivat
3
Derivative
3
Hedging
3
Esscher transform
2
Option pricing
2
Option trading
2
Optionsgeschäft
2
Statistical distribution
2
Statistische Verteilung
2
Theorie
2
Theory
2
ARCH model
1
ARCH-Modell
1
Allgemeines Gleichgewicht
1
Asian options
1
Attainability
1
Binomial tree
1
Clark–Ocone formula
1
Contingent claims
1
Energy derivatives
1
Entropie
1
Entropy
1
Equivalent martingale measure
1
Erdgas
1
Exotic options
1
Financial market
1
Finanzmarkt
1
Gas industry
1
Gaswirtschaft
1
more ...
less ...
Online availability
All
Undetermined
2
Type of publication
All
Article
Book / Working Paper
2
Type of publication (narrower categories)
All
Article in journal
11
Aufsatz in Zeitschrift
11
Language
All
English
11
Author
All
Arai, Takuji
Siu, Tak Kuen
Li, Jia
10
Jarrow, Robert A.
9
Jeanblanc, Monique
9
Kardaras, Constantinos
9
Frittelli, Marco
8
Jacod, Jean
8
Choulli, Tahir
7
Hobson, David G.
7
Kabanov, Jurij M.
7
Nutz, Marcel
7
Protter, Philip E.
7
Tauchen, George Eugene
7
Todorov, Viktor
7
Bayraktar, Erhan
6
Biagini, Francesca
6
Fontana, Claudio
6
Kallsen, Jan
6
Criens, David
5
Elliott, Robert J.
5
Liu, Zhi
5
Obłój, Jan
5
Schachermayer, Walter
5
Schweizer, Martin
5
Campi, Luciano
4
Charles, Amélie
4
Cretarola, Alessandra
4
Darné, Olivier
4
Deng, Jun
4
Grbac, Zorana
4
Kim, Jae H.
4
Larsen, Kasper
4
Madan, Dilip B.
4
McCauley, Joseph L.
4
Miyahara, Yoshio
4
Mykland, Per A.
4
Phillips, Peter C. B.
4
Platen, Eckhard
4
Ruf, Johannes
4
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
5
Annals of finance
1
Asia-Pacific financial markets
1
Energy economics
1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
Quantitative finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
11
Showing
1
-
10
of
11
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
2
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
3
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
Saved in:
4
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Annals of finance
9
(
2013
)
3
,
pp. 421-438
Persistent link: https://www.econbiz.de/10009776434
Saved in:
5
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
6
Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
7
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
8
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
9
q-Optimal martingale measures for discrete time models
Arai, Takuji
;
Kawaguchi, Muneki
- In:
Asia-Pacific financial markets
15
(
2008
)
3/4
,
pp. 155-173
Persistent link: https://www.econbiz.de/10003833105
Saved in:
10
An approximate approach to the exponential utility indifference
Arai, Takuji
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->