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subject:"Schätztheorie"
isPartOf:"Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques"
~subject:"Optionspreistheorie"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Schätztheorie
Optionspreistheorie
Theorie
785
Theory
785
Option pricing theory
193
Portfolio selection
162
Portfolio-Management
162
Estimation theory
90
Stochastic process
88
Stochastischer Prozess
88
CAPM
81
Volatility
78
Volatilität
78
Incomplete market
66
Unvollkommener Markt
66
Yield curve
66
Zinsstruktur
66
Hedging
61
Transaction costs
42
Transaktionskosten
42
Martingal
41
Martingale
41
Risiko
40
Risk
40
Arbitrage
37
Option trading
37
Optionsgeschäft
37
Black-Scholes model
34
Black-Scholes-Modell
34
Derivat
34
Derivative
34
Börsenkurs
32
Share price
32
Probability theory
31
Wahrscheinlichkeitsrechnung
31
Estimation
28
Schätzung
28
Statistical theory
27
Statistische Methodenlehre
27
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27
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89
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English
273
French
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Gouriéroux, Christian
12
Robert, Christian P.
12
Guégan, Dominique
7
Rogers, Leonard C. G.
7
Monfort, Alain
6
Zakoïan, Jean-Michel
6
Carr, Peter
5
Francq, Christian
5
Madan, Dilip B.
5
Philippe, Anne
5
Renault, Eric
5
Touzi, Nizar
5
Berred, Alexandre M.
4
Comte, Fabienne
4
Darolles, Serge
4
Elliott, Robert J.
4
Geman, Hélyette
4
Hobson, David G.
4
Jasiak, Joann
4
Robin, Jean-Marc
4
Yor, Marc
4
Billio, Monica
3
Dai, Min
3
Frey, Rüdiger
3
Ghysels, Eric
3
Glasserman, Paul
3
Guerre, Emmanuel
3
Hardouin, C.
3
Kwok, Yue-Kuen
3
Levendorskij, Sergej Z.
3
Linetsky, Vadim
3
Léorat, Guillaume
3
Scaillet, Olivier
3
Schachermayer, Walter
3
Abowd, John M.
2
Bensoussan, Alain
2
Biagini, Francesca
2
Bielecki, Tomasz R.
2
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2
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
Mathematical finance : an international journal of mathematics, statistics and financial theory
Economics letters
387
Journal of econometrics
381
Econometric theory
286
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
242
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
200
Série des documents de travail / Centre de Recherche en Économie et Statistique
169
Journal of quantitative economics : official journal of the Indian Econometric Society
138
Journal of applied econometrics
136
Econometric reviews
132
The review of economics and statistics
124
International journal of theoretical and applied finance
109
Working paper / National Bureau of Economic Research, Inc.
109
Finance and stochastics
108
Oxford bulletin of economics and statistics
101
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
96
The journal of derivatives : the official publication of the International Association of Financial Engineers
92
Discussion paper / Center for Economic Research, Tilburg University
89
The journal of futures markets
87
Discussion paper / Tinbergen Institute
80
CORE discussion paper : DP
79
Statistical papers
79
Journal of economic dynamics & control
71
The journal of computational finance
67
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
63
SFB 649 discussion paper
62
The journal of finance : the journal of the American Finance Association
62
Europäische Hochschulschriften / 5
61
Annales d'économie et de statistique
60
Applied mathematical finance
60
International economic review
60
The review of economic studies
60
Journal of banking & finance
59
American journal of agricultural economics
58
Metrika : international journal for theoretical and applied statistics
57
The journal of real estate finance and economics
57
Technical working paper / National Bureau of Economic Research
55
The review of financial studies
53
Working paper series
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ECONIS (ZBW)
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1
The effect of estimation in high-dimensional portfolios
Gandy, Axel
;
Veraart, Luitgard
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 531-559
Persistent link: https://www.econbiz.de/10009783354
Saved in:
2
Robust bounds for forward start options
Hobson, David G.
;
Neuberger, Anthony
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 31-56
Persistent link: https://www.econbiz.de/10009554695
Saved in:
3
Nonreplication of options
Kountzakis, Christos
;
Polyrakis, Ioannis A.
;
Xanthos, Foivos
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 569-584
Persistent link: https://www.econbiz.de/10009613179
Saved in:
4
Equilibrium asset and option pricing under jump diffusion
Zhang, Jin E.
;
Zhao, Huimin
;
Chang, Eric Chieh
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 538-568
Persistent link: https://www.econbiz.de/10009613181
Saved in:
5
On properties of analytically solvable families of local volatility diffusion models
Campolieti, Giuseppe
;
Makarov, Roman
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 488-518
Persistent link: https://www.econbiz.de/10009613183
Saved in:
6
Valuation of continuously monitored double barrier options and related securities
Boyarchenko, Mitya
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 419-444
Persistent link: https://www.econbiz.de/10009613187
Saved in:
7
Series expansion of the SABR joint density
Wu, Qi
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
Saved in:
8
The tracking error rate of the Delta-Gamma hedging strategy
Gobet, Emmanuel
;
Makhlouf, Azmi
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 277-309
Persistent link: https://www.econbiz.de/10009613201
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9
The Dothan pricing model revisited
Pintoux, Caroline
;
Privault, Nicolas
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 355-363
Persistent link: https://www.econbiz.de/10008935653
Saved in:
10
A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping
;
Lian, Guang-hua
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
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11
Optimal demand for contingent claims when agents have law invariant utilities
Carlier, Guillaume
;
Dana, Rose-Anne
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 169-201
Persistent link: https://www.econbiz.de/10008935693
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12
Pricing Asian options for jump diffusion
Bayraktar, Erhan
;
Xing, Hao
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10008935699
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13
Perfect and partial hedging for swing game options in discrete time
Dolinsky, Yan
;
Iron, Yonathan
;
Kifer, Yuri
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 447-474
Persistent link: https://www.econbiz.de/10009155203
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14
Indifference price with general seminartingales
Biagini, Sara
;
Frittelli, Marco
;
Grasselli, Matheus
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 423-446
Persistent link: https://www.econbiz.de/10009155204
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15
Pricing of high-dimensional American options by neural networks
Kohler, Michael
;
Krzyżak, Adam
;
Todorović, Nebojša
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 383-410
Persistent link: https://www.econbiz.de/10008665062
Saved in:
16
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
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17
Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy Market
Yip, Wing Yan
;
Stephens, David
;
Olhede, Sofia
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 617-646
Persistent link: https://www.econbiz.de/10008666962
Saved in:
18
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
Saved in:
19
Indifference valuation of mortgage-backed securities in the presence of prepayment risk
Zhou, Ti
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 479-507
Persistent link: https://www.econbiz.de/10008667032
Saved in:
20
Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil
;
Stein, Elias M.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
Saved in:
21
On agent's agreement and partial-equilibrium pricing in incomplete markets
Anthropelos, Michail
;
Žitkovi´c, Gordan
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 411-446
Persistent link: https://www.econbiz.de/10008667062
Saved in:
22
Minimum guaranteed payments and costly cancellation rights : a stopping game perspective
Alvarez, Luis H. R.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 733-751
Persistent link: https://www.econbiz.de/10008667600
Saved in:
23
Complex logarithms in Heston-like models
Lord, Roger
;
Kahl, Christian
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 671-694
Persistent link: https://www.econbiz.de/10008667627
Saved in:
24
Discrete time hedging of the American option
Hussain, S.
;
Shashiashvili, M.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 647-670
Persistent link: https://www.econbiz.de/10008667629
Saved in:
25
Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10003955654
Saved in:
26
The dependence structure of running maxima and minima : results and option pricing applications
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 35-58
Persistent link: https://www.econbiz.de/10003955657
Saved in:
27
Pricing and hedging American options analytically : a perturbation method
Zhang, Jin E.
;
Li, Tiecheng
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 59-87
Persistent link: https://www.econbiz.de/10003955680
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28
Achieving higher order convergence for the prices of European options in binomial trees
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 89-103
Persistent link: https://www.econbiz.de/10003955683
Saved in:
29
Sparse calibrations of contingent claims
Kahalé, Nabil
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 105-115
Persistent link: https://www.econbiz.de/10003955685
Saved in:
30
The Wiener-Hopf technique and discretely monitored path-dependent option pricing
Green, Ross
;
Fusai, Gianluca
;
Abrahams, I. David
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 259-288
Persistent link: https://www.econbiz.de/10003955738
Saved in:
31
Pricing and hedging of derivatives based on nontradable underlyings
Ankirchner, Stefan
;
Imkeller, Peter
;
Reis, Gonçalo dos
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 289-312
Persistent link: https://www.econbiz.de/10003955743
Saved in:
32
Implied volatility in the Hull-White model
Gulisashvili, Archil
;
Stein, Elias M.
- In:
Mathematical finance : an international journal of …
19
(
2009
)
2
,
pp. 303-327
Persistent link: https://www.econbiz.de/10003827587
Saved in:
33
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
Saved in:
34
Pricing corporate securities under noisy asset information
Frey, Rüdiger
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 403-421
Persistent link: https://www.econbiz.de/10003882528
Saved in:
35
Singular perturbation techniques applied to multiasset option pricing
Duck, Peter W.
;
Yang, Chao
;
Newton, David P.
;
Widdicks, …
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 457-486
Persistent link: https://www.econbiz.de/10003882793
Saved in:
36
Put-call symmetry : extensions and applications
Carr, Peter
;
Lee, Roger
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
Saved in:
37
Cash subadditive risk measures and interest rate ambiguity
El Karoui, Nicole
;
Ravanelli, Claudia
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 561-590
Persistent link: https://www.econbiz.de/10003937131
Saved in:
38
Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options
Leung, Tim
;
Sircar, Kaushik Ronnie
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 99-128
Persistent link: https://www.econbiz.de/10003818394
Saved in:
39
Optimal investment with an unbounded random endowment and utility-based pricing
Owen, Mark P.
;
Žitković, Gordan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 129-159
Persistent link: https://www.econbiz.de/10003818431
Saved in:
40
Term structures of implied volatilites : absence of arbitrage and existence results
Schweizer, Martin
;
Wissel, Johannes
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 77-114
Persistent link: https://www.econbiz.de/10003643469
Saved in:
41
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?
Schachermayer, Walter
;
Teichmann, Josef
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 155-170
Persistent link: https://www.econbiz.de/10003643489
Saved in:
42
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models : a fast Hilbert transform approach
Feng, Liming
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 337-384
Persistent link: https://www.econbiz.de/10003752266
Saved in:
43
Bivariate support of forward libor and swap rates
Jamshidian, Farshid
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 427-443
Persistent link: https://www.econbiz.de/10003752304
Saved in:
44
Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
45
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
46
Properties of option prices in models with jumps
Ekström, Erik
;
Tysk, Johan
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 381-397
Persistent link: https://www.econbiz.de/10003626552
Saved in:
47
A state-space partitioning method for pricing high-dimensional American-style options
Jin, Xing
;
Hwee Huat Tan
;
Sun, Junhua
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 399-426
Persistent link: https://www.econbiz.de/10003626559
Saved in:
48
The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
Saved in:
49
The range of traded option prices
Davis, Mark H. A.
;
Hobson, David G.
- In:
Mathematical finance : an international journal of …
17
(
2007
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10003543093
Saved in:
50
Modeling liquidity effects in discrete time
Çetin, Umut
;
Rogers, Leonard C. G.
- In:
Mathematical finance : an international journal of …
17
(
2007
)
1
,
pp. 15-29
Persistent link: https://www.econbiz.de/10003543099
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