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  • Search: subject:"Characteristic function"
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Year of publication
Subject
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Characteristic function 89 characteristic function 82 Optionspreistheorie 43 Option pricing theory 42 Stochastic process 40 Stochastischer Prozess 40 Estimation theory 35 Schätztheorie 35 Theorie 31 Empirical characteristic function 30 Volatility 30 Volatilität 30 Theory 28 Characteristic Function 25 Statistical distribution 20 Statistische Verteilung 20 Estimation 16 stochastic volatility 15 Probability theory 14 Wahrscheinlichkeitsrechnung 14 Core 13 Option trading 13 Optionsgeschäft 13 Schätzung 13 Kooperatives Spiel 12 empirical characteristic function 12 Cooperative game 11 Game theory 11 Nichtparametrisches Verfahren 11 Nonparametric statistics 11 Statistical test 11 Statistischer Test 11 Shapley value 10 option pricing 10 Heston 9 Lévy process 9 Spieltheorie 9 Bootstrap 8 Fourier inversion 8 Goodness-of-fit 8
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Online availability
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Undetermined 155 Free 125 CC license 8
Type of publication
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Article 194 Book / Working Paper 110
Type of publication (narrower categories)
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Article in journal 80 Aufsatz in Zeitschrift 80 Working Paper 42 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 24 Article 10 Aufsatz im Buch 5 Book section 5 research-article 2 Conference paper 1 Konferenzbeitrag 1 Research Report 1
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Language
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English 172 Undetermined 130 German 2
Author
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Xu, Dinghai 10 Lord, Roger 9 Hoderlein, Stefan 8 Kahl, Christian 8 Breunig, Christoph 7 Meintanis, Simos 7 Broda, Simon A. 6 Wystup, Uwe 6 Forges, Françoise 5 Gupta, Arjun 5 Manuel, Conrado 5 Orzach, Ram 5 Zhylyevskyy, Oleksandr 5 Appaia, Loganathan 4 Brink, René van den 4 Chander, Parkash 4 Drakatos, Stylianos Th. 4 Ewerhart, Christian 4 Figueiredo, Annibal 4 Fountas, Ioannis E. 4 Fusai, Gianluca 4 Griebsch, Susanne 4 He, Xin-Jiang 4 Henze, Norbert 4 Hong, Yongmiao 4 Hušková, Marie 4 Kampisioulis, Panagiotis K. 4 Knight, John 4 Krichene, Noureddine 4 Serena, Marco 4 Caldana, Ruggero 3 Carrasco, Marine 3 Florens, Jean-Pierre 3 González-Aranguena, Enrique 3 Kan, Raymond 3 Laeven, Roger J. A. 3 Leucht, Anne 3 Meintanis, Simos G. 3 Nguyen, Truc 3 Pagliarani, Stefano 3
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 International Monetary Fund (IMF) 6 Department of Economics, University of Waterloo 5 Tinbergen Instituut 5 Department of Economics, Iowa State University 3 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 3 Econometric Society 3 Cowles Foundation for Research in Economics, Yale University 2 Fondazione ENI Enrico Mattei (FEEM) 2 Frankfurt School of Finance and Management 2 Tinbergen Institute 2 University of Bonn, Germany 2 Université Paris-Dauphine (Paris IX) 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of California-San Diego (UCSD) 1 EconWPA 1 Finance Press 1 HAL 1 Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Internationella Handelshögskolan, Högskolan i Jönköping 1 London School of Economics (LSE) 1 School of Management, Yale University 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Swiss Finance Institute 1 Université Paris-Dauphine 1
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Published in...
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Annals of the Institute of Statistical Mathematics 11 International journal of theoretical and applied finance 10 Metrika 10 Journal of Multivariate Analysis 9 Journal of econometrics 9 Discussion paper / Tinbergen Institute 7 MPRA Paper 7 Tinbergen Institute Discussion Papers 7 Computational Statistics & Data Analysis 6 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Tinbergen Institute Discussion Paper 6 Statistics & Probability Letters 5 Working Paper 5 Working Papers / Department of Economics, University of Waterloo 5 CPQF Working Paper Series 4 Computational economics 4 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 4 Journal of mathematical finance 3 Quantitative finance 3 Staff General Research Papers / Department of Economics, Iowa State University 3 Statistical Papers / Springer 3 The journal of computational finance 3 Annals of Economics and Finance 2 Applied Mathematical Finance 2 Computational Statistics 2 Cowles Foundation Discussion Papers 2 DISA Working Papers 2 Discussion Paper Serie B 2 Econometric Reviews 2 Econometric Society 2004 North American Winter Meetings 2 Econometric reviews 2 Economic Quality Control 2 Economics Papers from University Paris Dauphine 2 Economics letters 2 European journal of operational research : EJOR 2 Finance and Stochastics 2 Forschung am ivwKöln 2 International Game Theory Review (IGTR) 2 International Journal of Quality & Reliability Management 2
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Source
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RePEc 160 ECONIS (ZBW) 111 EconStor 29 Other ZBW resources 3 BASE 1
Showing 91 - 100 of 304
Cover Image
Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
Broda, Simon A. - 2013
Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...
Persistent link: https://www.econbiz.de/10010326235
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Order Monotonic Solutions for Generalized Characteristic Functions
van den Brink, René; González-Aranguena, Enrique; … - 2013
Generalized characteristic functions extend characteristic functions of 'classical' TU-games by assigning a real number to every ordered coalition being a permutation of any subset of the player set. Such generalized characteristic functions can be applied when the earnings or costs of...
Persistent link: https://www.econbiz.de/10010326540
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Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
Broda, Simon A. - Tinbergen Instituut - 2013
Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...
Persistent link: https://www.econbiz.de/10011256002
Saved in:
Cover Image
Order Monotonic Solutions for Generalized Characteristic Functions
Brink, René van den; González-Aranguena, Enrique; … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'European Journal of Operational Research', 2014, 238, 786-796.<P> Generalized characteristic functions extend characteristic functions of 'classical' TU-games by assigning a real number to every ordered coalition being a permutation of any...</p>
Persistent link: https://www.econbiz.de/10011257247
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Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions
Chen, Songxi; Peng, Liang; Yu, Cindy - Volkswirtschaftliche Fakultät, … - 2013
testing, based on the conditional characteristic function for processes with either continuous or discontinuous sample paths …
Persistent link: https://www.econbiz.de/10011257884
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An adaptive Filon quadrature for stochastic volatility models
Le Floc'h, Fabien - In: The journal of computational finance 22 (2018) 3, pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
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American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars - In: The journal of computational finance 22 (2018) 3, pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
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Estimation of dynamic mixed hitting time model using characteristic function based moments
Purwono, Yogo; Irwan Adi Ekaputra; Husodo, Zaäfri Ananto - In: Computational economics 51 (2018) 2, pp. 295-321
Persistent link: https://www.econbiz.de/10011963671
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Some further results on the tempered multistable approach
Le Courtois, Olivier - In: Asia-Pacific financial markets 25 (2018) 2, pp. 87-109
Persistent link: https://www.econbiz.de/10012032996
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Accurate pricing of swaptions via lower bound
Gambaro, Anna Maria; Caldana, Ruggero; Fusai, Gianluca - In: Handbook of recent advances in commodity and financial …, (pp. 183-208). 2018
Persistent link: https://www.econbiz.de/10011898636
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