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isPartOf:"SFB 649 discussion paper"
~isPartOf:"Annals of operations research"
~isPartOf:"Computational economics"
~subject:"Statistical test"
~subject:"Stochastic process"
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Search: subject_exact:"Stochastisches Modell"
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Statistical test
Stochastic process
Stochastischer Prozess
238
Theorie
120
Theory
120
Option pricing theory
61
Optionspreistheorie
61
Volatility
60
Volatilität
60
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Reiß, Markus
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Härdle, Wolfgang
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Gapeev, Pavel V.
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Hautsch, Nikolaus
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Li, Yong
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López Cabrera, Brenda
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Ma, Yong-Ki
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International Conference on Stochastic Programming <10, 2004, Tucson, Ariz.>
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SFB 649 discussion paper
Annals of operations research
Computational economics
European journal of operational research : EJOR
623
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
282
Journal of econometrics
218
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
181
Operations research
168
Operations research letters
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International journal of production research
162
Quantitative finance
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Mathematics of operations research
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Journal of economic dynamics & control
140
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Risks : open access journal
124
International journal of production economics
123
Applied mathematical finance
119
Mathematical finance : an international journal of mathematics, statistics and financial theory
115
The journal of computational finance
103
Economics letters
96
Journal of mathematical finance
89
Econometric reviews
84
Management science : journal of the Institute for Operations Research and the Management Sciences
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Economic modelling
81
Energy economics
81
Transportation research / E : an international journal
81
INFORMS journal on computing : JOC
79
International journal of financial engineering
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research
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Finance research letters
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Computational Management Science : CMS
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Journal of banking & finance
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Journal of economic theory
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Omega : the international journal of management science
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Working paper
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Annals of finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
238
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1
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10
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238
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1
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Saved in:
3
Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu
;
Uğur, Ömür
;
Aksoy, Ümit
- In:
Computational economics
62
(
2023
)
1
,
pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
Saved in:
4
Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
Saved in:
5
A novel high dimensional fitted scheme for stochastic optimal control problems
Dleuna Nyoumbi, Christelle
;
Tambue, Antoine
- In:
Computational economics
61
(
2023
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10014228389
Saved in:
6
A method to pre-compile numerical integrals when solving stochastic dynamic problems
Arapakis, Karolos
- In:
Computational economics
61
(
2023
)
2
,
pp. 593-610
Persistent link: https://www.econbiz.de/10014228454
Saved in:
7
Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Liang, Rubing
;
Qin, Binbin
;
Xia, Qiang
- In:
Computational economics
63
(
2024
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10014472071
Saved in:
8
Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade
;
Neisy, A.
;
Adl, A.
- In:
Computational economics
63
(
2024
)
1
,
pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
Saved in:
9
A time-dependent Markovian model of a limit order book
Chávez Casillas, Jonathan A.
- In:
Computational economics
63
(
2024
)
2
,
pp. 679-709
Persistent link: https://www.econbiz.de/10014472546
Saved in:
10
A bilinear pseudo-spectral method for solving two-asset European and American pricing options
Khasi, M.
;
Rashidinia, J.
- In:
Computational economics
63
(
2024
)
2
,
pp. 893-918
Persistent link: https://www.econbiz.de/10014475075
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