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Stochastic process
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Barbachan, José Santiago Fajardo
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Korn, Ralf
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Papi, Marco
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Albeverio, Sergio
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Decisions in economics and finance : DEF ; a journal of applied mathematics
31
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ECONIS (ZBW)
31
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1
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
2
Kyle equilibrium under random price pressure
Corcuera, José Manuel
;
Di Nunno, Giulia
;
Barbachan, …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012065175
Saved in:
3
Lévy CARMA models for shocks inmortality
Hitaj, Asmerilda
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 205-227
Persistent link: https://www.econbiz.de/10012065209
Saved in:
4
From volatility smiles to the volatility of volatility
Dumas, Bernard
;
Luciano, Elisa
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 387-406
Persistent link: https://www.econbiz.de/10012127226
Saved in:
5
Markovian lifts of positive semidefinite affine Volterra-typeprocesses
Cuchiero, Christa
;
Teichmann, Josef
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 407-448
Persistent link: https://www.econbiz.de/10012127229
Saved in:
6
Estimating stochastic volatility : the rough side to equityreturns
Haynes, Jonathan
;
Schmitt, Daniel
;
Grimm, Lukas
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 449-469
Persistent link: https://www.econbiz.de/10012127236
Saved in:
7
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo
;
Germani, Alfredo
;
Papi, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
Saved in:
8
Moment explosions in the rough Heston model
Gerhold, Stefan
;
Gerstenecker, Christoph
;
Pinter, Arpad
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 575-608
Persistent link: https://www.econbiz.de/10012127280
Saved in:
9
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
10
Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
11
Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca
;
Bernard, Carole
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
Saved in:
12
Weighted average price in the Heston stochastic volatility model
Papi, Marco
;
Pontecorvi, Luca
;
Donatucci, Cristina
- In:
Decisions in economics and finance : DEF ; a journal of …
40
(
2017
)
1/2
,
pp. 351-373
Persistent link: https://www.econbiz.de/10011997757
Saved in:
13
Consumption optimization for recursive utility in a jump-diffusion model
Antonelli, Fabio
;
Mancini, Carlo
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 293-310
Persistent link: https://www.econbiz.de/10011642633
Saved in:
14
A note on portfolio selection and stochastic dominance
Menegatti, Mario
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 327-331
Persistent link: https://www.econbiz.de/10011642697
Saved in:
15
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks
Wang, Jingjing
;
Leung, Chi Man
;
Kwok, Yue-Kuen
- In:
Decisions in economics and finance : DEF ; a journal of …
38
(
2015
)
2
,
pp. 177-195
Persistent link: https://www.econbiz.de/10011342182
Saved in:
16
Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes
Matilla-García, Mariano
;
Ruiz Marín, Manuel
;
Dore, …
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
1
,
pp. 181-193
Persistent link: https://www.econbiz.de/10010340239
Saved in:
17
Portfolio optimization for an investor with a benchmark
Korn, Ralf
;
Lindberg, Carl
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 373-384
Persistent link: https://www.econbiz.de/10010412437
Saved in:
18
Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
Barbachan, José Santiago Fajardo
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 319-327
Persistent link: https://www.econbiz.de/10010412452
Saved in:
19
Selecting stochastic mortality models for the Italian population
Biffi, Paolo
;
Clemente, Gian Paolo
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 255-286
Persistent link: https://www.econbiz.de/10010412475
Saved in:
20
Robustness for path-dependent volatility models
Rosestolato, Mauro
;
Vargiolu, Tiziano
;
Villani, Giovanna
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
2
,
pp. 137-167
Persistent link: https://www.econbiz.de/10010195617
Saved in:
21
Pricing VIX options with stochastic volatility and random jumps
Lian, Guang-hua
;
Zhu, Song-ping
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
1
,
pp. 71-88
Persistent link: https://www.econbiz.de/10009729063
Saved in:
22
Exchange rate bifurcation in a stochastic evolutionary finance model
Gagnon, Gregory
- In:
Decisions in economics and finance : DEF ; a journal of …
35
(
2012
)
1
,
pp. 29-58
Persistent link: https://www.econbiz.de/10009656948
Saved in:
23
Stochastic Jacobian and Riccati ODE in affine term structure models
Grasselli, Martino
;
Tebaldi, Claudio
- In:
Decisions in economics and finance : DEF ; a journal of …
30
(
2007
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10003630203
Saved in:
24
Default-risky bond prices with jumps, liquidity risk and incomplete information
Jeanblanc, Monique
;
Valchev, Stoyan
- In:
Decisions in economics and finance : DEF ; a journal of …
30
(
2007
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10003630273
Saved in:
25
A bidimensional approach to mortality risk
Biffis, Enrico
;
Millossovich, Pietro
- In:
Decisions in economics and finance : DEF ; a journal of …
29
(
2006
)
2
,
pp. 71-94
Persistent link: https://www.econbiz.de/10003835669
Saved in:
26
Stochastic demand correspondence and their aggregation properties
Alcantud, José C. R.
- In:
Decisions in economics and finance : DEF ; a journal of …
29
(
2006
)
1
,
pp. 55-69
Persistent link: https://www.econbiz.de/10003339654
Saved in:
27
Homogeneous semi-Markov reliability models for credit risk management
D'Amico, Guglielmo
;
Janssen, Jacques
;
Manca, Raimondo
- In:
Decisions in economics and finance : DEF ; a journal of …
28
(
2005
)
2
,
pp. 79-93
Persistent link: https://www.econbiz.de/10003231302
Saved in:
28
An approximation of caplet implied volatilities in Gaussian models
Angelini, Flavio
;
Herzel, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
28
(
2005
)
2
,
pp. 113-127
Persistent link: https://www.econbiz.de/10003231310
Saved in:
29
Bounds for the utility-indifference prices of non-traded assets in incomplete markets
Hobson, David G.
- In:
Decisions in economics and finance : DEF ; a journal of …
28
(
2005
)
1
,
pp. 33-52
Persistent link: https://www.econbiz.de/10003048352
Saved in:
30
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
Korn, Ralf
;
Oertel, Frank
;
Schäl, Manfred
- In:
Decisions in economics and finance : DEF ; a journal of …
26
(
2003
)
2
,
pp. 153-166
Persistent link: https://www.econbiz.de/10001827987
Saved in:
31
Optimality conditions and bubbles in sequential economies and bounded relative risk-aversion
Dal Forno, Arianna
;
Montrucchio, Luigi
- In:
Decisions in economics and finance : DEF ; a journal of …
26
(
2003
)
1
,
pp. 53-80
Persistent link: https://www.econbiz.de/10003837113
Saved in:
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