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  • Search: subject:"Brownian Subordination"
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Year of publication
Subject
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Brownian Subordination 2 Brownian subordination 2 Hierarchical Dependence Structure 2 Jumps 2 Portfolio Credit Risk 2 Stochastic Time Change 2 Tail Dependence 2 chaotic Brownian subordination 2 chaotic maps 2 forward interest rates 2 shot noise processes 2 switching dynamical systems 2 Bilateral gamma 1 Chaostheorie 1 Dynamisches Modell 1 Noise Trading 1 Option pricing theory 1 Optionspreistheorie 1 Sato process 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Zinsstruktur 1 beta distributions 1 filtering 1 quadratic variation 1 self-decomposable 1 tempered stable 1 the CGMY model 1 variance gamma and normal inverse Gaussian processes 1 variance swap 1
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Online availability
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Free 4 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 2
Type of publication (narrower categories)
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Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 4 Undetermined 2
Author
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Baranovski, Alexander L. 2 Madan, Dilip B. 2 Puzanova, Natalia 2 Geman, Hélyette 1 Wang, King 1 Yor, Marc 1
Institution
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Deutsche Bundesbank 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Discussion Paper Series 2 1 Discussion Paper Series 2: Banking and Financial Studies 1 Finance and Stochastics 1 International journal of theoretical and applied finance : IJTAF 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1
Source
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RePEc 3 EconStor 2 ECONIS (ZBW) 1
Showing 1 - 6 of 6
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Option surface statistics with applications
Madan, Dilip B.; Wang, King - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-16
Persistent link: https://www.econbiz.de/10014235076
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - 2011
This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a...
Persistent link: https://www.econbiz.de/10010308734
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - Deutsche Bundesbank - 2011
This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a...
Persistent link: https://www.econbiz.de/10010954914
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Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling
Baranovski, Alexander L. - 2010
In this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the...
Persistent link: https://www.econbiz.de/10010281583
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Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling
Baranovski, Alexander L. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
In this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the...
Persistent link: https://www.econbiz.de/10008568495
Saved in:
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Stochastic volatility, jumps and hidden time changes
Yor, Marc; Madan, Dilip B.; Geman, Hélyette - In: Finance and Stochastics 6 (2002) 1, pp. 63-90
Stochastic volatility and jumps are viewed as arising from Brownian subordination given here by an independent purely …
Persistent link: https://www.econbiz.de/10005613455
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