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~source:"econis"
~subject:"Stochastischer Prozess"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial economics"
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Stochastischer Prozess
Analysis
4
Mathematical analysis
4
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CAPM
1
Credit risk
1
Epstein-Zin utilities
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Option pricing theory
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Poisson equations
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Probability theory
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Wahrscheinlichkeitsrechnung
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backward stochastic differential equations
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bounded martingale
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consumption-based equilibrium model
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consumption-investment problem
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credit risk
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diffusion process
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first hitting time
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information reduction
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machine learning
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online optimization
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random horizons
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stochastic differential equation
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stochastic differential equations
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stochastic partial differential equations
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stochastic survival probability
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Huang, Yu-Jui
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Jeanblanc, Monique
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Ma, Junchi
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1
Sezer, Ayşe Deniz
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Sirignano, Justin
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Mathematical finance : an international journal of mathematics, statistics and financial economics
International journal of theoretical and applied finance
23
Discussion papers of interdisciplinary research project 373
17
Finance and stochastics
17
Insurance / Mathematics & economics
17
Journal of mathematical finance
13
The journal of computational finance
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Applied mathematical finance
9
Quantitative finance
9
CIRJE discussion papers / F series
8
International journal of financial engineering
8
Mathematics of operations research
8
Risks : open access journal
8
Annals of operations research
7
Journal of economic dynamics & control
7
Annals of finance
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CESifo working papers
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CoFE discussion papers
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Contemporary quantitative finance : essays in honour of Eckhard Platen
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Economic modelling
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European journal of operational research : EJOR
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
CARF working paper
5
Dynamic games and applications : DGA
5
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
5
Probability theory and related fields
5
SFB 649 discussion paper
5
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
5
Advanced mathematical methods for finance
4
Asia-Pacific financial markets
4
Journal of mathematical economics
4
Mathematical methods of operations research
4
Scandinavian actuarial journal
4
SpringerLink / Bücher
4
CREATES research paper
3
Computational economics
3
Discussion paper / Institut de Recherches Économiques et Sociales de l'Université Catholique de Louvain
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Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information
Ma, Junchi
;
Ogunsolu, Mobolaji
;
Qiu, Jinniao
;
Sezer, …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 666-708
Persistent link: https://www.econbiz.de/10014329901
Saved in:
2
Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations
Wang, Ziheng
;
Sirignano, Justin
- In:
Mathematical finance : an international journal of …
34
(
2024
)
2
,
pp. 348-424
Persistent link: https://www.econbiz.de/10014514766
Saved in:
3
Epstein-Zin utility maximization on a random horizon
Aurand, Joshua
;
Huang, Yu-Jui
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1370-1411
Persistent link: https://www.econbiz.de/10014370670
Saved in:
4
Conic martingales from stochastic integrals
Jeanblanc, Monique
;
Vrins, Frédéric
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 516-535
Persistent link: https://www.econbiz.de/10012166968
Saved in:
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