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~person:"Elliott, Robert J."
~person:"Siu, Tak Kuen"
~subject:"Stochastic process"
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Search: subject:"Stochastisches Modell "
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Stochastic process
Stochastischer Prozess
50
Option pricing theory
27
Optionspreistheorie
27
Markov chain
24
Markov-Kette
24
Theorie
24
Theory
24
Portfolio selection
12
Portfolio-Management
12
Volatility
12
Volatilität
12
Hedging
6
Option trading
6
Optionsgeschäft
6
Derivat
5
Derivative
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Financial economics
5
Financial investment
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Financial market
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Finanzmarkt
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Kapitalanlage
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Kapitalmarkttheorie
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Martingal
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Martingale
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Zins
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Esscher transform
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Regime-switching
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Risiko
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Risk
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ARCH model
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ARCH-Modell
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Börsenkurs
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Credit risk
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42
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38
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English
50
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Elliott, Robert J.
Siu, Tak Kuen
McAleer, Michael
93
Phillips, Peter C. B.
75
Koopman, Siem Jan
62
Chiarella, Carl
54
Platen, Eckhard
51
Sethi, Suresh
49
Barndorff-Nielsen, Ole E.
44
Cui, Zhenyu
44
Escudero, Laureano F.
44
Ferrari, Giorgio
42
Post, Thierry
41
Takahashi, Akihiko
41
Asai, Manabu
39
Yu, Jun
39
Madan, Dilip B.
38
Benth, Fred Espen
37
Fabozzi, Frank J.
37
Shephard, Neil G.
37
Chan, Joshua
36
Gao, Jiti
35
Todorov, Viktor
34
Escobar, Marcos
33
Hainaut, Donatien
30
Linton, Oliver
30
Gil-Alaña, Luis A.
29
Wong, Hoi Ying
29
Clark, Todd E.
28
Gendreau, Michel
28
Račev, Svetlozar T.
28
Carr, Peter
27
Wong, Wing Keung
27
Topaloglou, Nikolas
26
Batabyal, Amitrajeet A.
25
Mumtaz, Haroon
25
Nguyen, Duy
25
Wallace, Stein W.
25
Grasselli, Martino
24
Kleijnen, Jack P. C.
24
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Insurance / Mathematics & economics
6
Annals of finance
4
Economic modelling
3
Applied mathematical finance
2
European journal of operational research : EJOR
2
IMA journal of management mathematics
2
International Series in Operations Research & Management Science
2
International journal of theoretical and applied finance
2
International series in operations research & management science
2
Journal of economic dynamics & control
2
Operations research letters
2
SpringerLink / Bücher
2
The journal of futures markets
2
Advances in statistics, probability and actuarial science
1
Asia-Pacific financial markets
1
Computational economics
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion paper series
1
Energy economics
1
Finance and stochastics
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Innovative quick response programs in logistics and supply chain management
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
1
Mathematical methods of operations research
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
The journal of derivatives : JOD
1
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ECONIS (ZBW)
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
3
Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
;
Zhu, Song-Ping
;
Elliott, Robert J.
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
Saved in:
4
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
5
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
6
How correlation risk in basket credit derivatives might be priced and managed?
Zhu, Dong-Mei
;
Gu, Jia-wen
;
Yu, Feng-Hui
;
Ching, Wai Ki
; …
- In:
IMA journal of management mathematics
32
(
2021
)
2
,
pp. 195-219
Persistent link: https://www.econbiz.de/10012434401
Saved in:
7
Optimal risk exposure and dividend payout policies under model uncertainty
Feng, Yang
;
Zhu, Jinxia
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012622379
Saved in:
8
Trading strategy with stochastic volatility in a limit order book market
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jiawen
;
Siu, Tak Kuen
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 277-301
Persistent link: https://www.econbiz.de/10012285400
Saved in:
9
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
10
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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