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isPartOf:"Finance and stochastics"
~isPartOf:"Journal of empirical finance"
~subject:"Affine processes"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Markovscher Prozess"
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Affine processes
Stochastischer Prozess
Markov chain
66
Markov-Kette
66
Theorie
43
Theory
43
Volatility
20
Volatilität
20
Stochastic process
17
Capital income
15
Estimation
15
Kapitaleinkommen
15
Schätzung
15
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13
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13
Portfolio selection
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10
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7
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6
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5
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5
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5
Aktienmarkt
4
Estimation theory
4
Risikomaß
4
Risikoprämie
4
Risk measure
4
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4
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4
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Alòs, Elisa
1
Beek, Misha van
1
Beiglböck, Mathias
1
Björk, Tomas
1
Brzeźniak, Zdzisław
1
Buchardt, Kristian
1
Cuchiero, Christa
1
Detemple, Jérôme B.
1
Diewald, Laszlo
1
Elliott, Robert J. R.
1
Furrer, Christian
1
Gallo, Giampiero M.
1
Garcia, René
1
Gloter, Arnaud
1
Haussmann, Ulrich G.
1
Jeantheau, Thierry
1
Kabanov, Jurij M.
1
King, Maxwell L.
1
Kok, Tayfun
1
Langrock, Roland
1
León, Jorge A.
1
Lowther, George
1
MacDonald, Iain L.
1
Mandjes, Michel
1
Murgoci, Agatha
1
Osakwe, Carlton-James U.
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Pammer, Gudmund
1
Pergamenščikov, Sergej M.
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Pollastri, Alessandro
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Prokopczuk, Marcel
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Rindisbacher, Marcel
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Rodrigues, Paulo Jorge Maurício
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Rossi, Alessandro
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Sass, Jörn
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Schachermayer, Walter
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Schlag, Christian
1
Seeger, Norman
1
Spreij, Peter
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Steffensen, Mogens
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Finance and stochastics
Journal of empirical finance
European journal of operational research : EJOR
37
Insurance / Mathematics & economics
22
International journal of theoretical and applied finance
21
Mathematics of operations research
17
Quantitative finance
14
Journal of econometrics
13
Operations research
13
Annals of operations research
11
Economic modelling
11
Computational economics
10
International journal of production research
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Mathematical methods of operations research
10
Risks : open access journal
10
Econometric reviews
8
Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Energy economics
8
Journal of economic dynamics & control
8
Journal of mathematical finance
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
8
Finance research letters
7
Mathematical methods of operations research : ZOR
7
Operations research letters
7
Annals of finance
6
Applied mathematical finance
6
Asia-Pacific financial markets
6
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Journal of forecasting
6
Journal of risk and financial management : JRFM
6
Quantitative economics : QE ; journal of the Econometric Society
6
Review of quantitative finance and accounting
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
International journal of financial engineering
5
International journal of production economics
5
Opsearch : journal of the Operational Research Society of India
5
Scandinavian actuarial journal
5
The journal of computational finance
5
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1
Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias
;
Lowther, George
;
Pammer, Gudmund
; …
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 259-284
Persistent link: https://www.econbiz.de/10014447742
Saved in:
2
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
3
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
4
Infinite-dimensional polynomial processes
Cuchiero, Christa
;
Svaluto-Ferro, Sara
- In:
Finance and stochastics
25
(
2021
)
2
,
pp. 383-426
Persistent link: https://www.econbiz.de/10012499741
Saved in:
5
Regime switching affine processes with applications to finance
Beek, Misha van
;
Mandjes, Michel
;
Spreij, Peter
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
Saved in:
6
Forward transition rates
Buchardt, Kristian
;
Furrer, Christian
;
Steffensen, Mogens
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
Saved in:
7
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
Brzeźniak, Zdzisław
;
Kok, Tayfun
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 959-1006
Persistent link: https://www.econbiz.de/10011946590
Saved in:
8
Time-variations in commodity price jumps
Diewald, Laszlo
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of empirical finance
31
(
2015
),
pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
Saved in:
9
A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas
;
Murgoci, Agatha
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
Saved in:
10
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland
;
MacDonald, Iain L.
;
Zucchini, Walter
- In:
Journal of empirical finance
19
(
2012
)
1
,
pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
Saved in:
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