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  • Search: subject:"Characteristic functions"
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Year of publication
Subject
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Characteristic functions 14 characteristic functions 10 Option pricing theory 6 Optionspreistheorie 6 Volatility 6 Volatilität 6 Stochastic process 5 Stochastischer Prozess 5 option pricing 5 Economic models 4 Stochastic volatility 4 characteristic function 4 equation 4 kurtosis 4 martingale 4 probability 4 skewness 4 stochastic differential equation 4 time series 4 Estimation theory 3 Lévy processes 3 Schätztheorie 3 computation 3 conditional expectation 3 diffusion model 3 diffusion process 3 equations 3 poisson process 3 probabilities 3 probability density 3 probability density function 3 probability distribution 3 statistics 3 stochastic process 3 stochastic processes 3 stochastic volatility 3 Average operating characteristic functions 2 CIR model 2 Characteristic Functions 2 Compound options 2
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Online availability
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Undetermined 17 Free 9 CC license 1
Type of publication
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Article 20 Book / Working Paper 13 Other 2
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Thesis 1
Language
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Undetermined 19 English 16
Author
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Krichene, Noureddine 3 Bierens, Herman J. 2 Carr, Peter 2 Fernández, Arturo J. 2 Semenova, Maria 2 Uhlich, Gerald 2 Wu, Liuren 2 Yu, Jung-Suk 2 Agastia, Murali 1 Alim, Md. Abdul 1 Ayache, Antoine 1 Baczynski, Jack 1 Biswas, Md. Haider Ali 1 Braun, W. John 1 Carr, Pete 1 Chang, Chien-Hung 1 Chang, Chien-hung 1 Cheng, Jun 1 Cui, Zhenyu 1 Ding, Kailin 1 Goutte, Stéphane 1 Griebsch, Susanne 1 Griebsch, Susanne A. 1 Guichardet, A. 1 Ibraimi, Meriton 1 Jang, Hyun Jin 1 Jang, Jiwook 1 Jayakumar, G. S. David Sam 1 Korolev, Alexey V. 1 Leippold, Markus 1 Li, Wei 1 Lin, Yueh-Neng 1 Lin, Yueh-neng 1 Liu, Qingfeng 1 Liu, Yanchu 1 Madan, Dilip 1 Matovu, John 1 Mondal, Mitun Kumar 1 Nishiyama, Yoshihiko 1 Oudjane, Nadia 1
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Institution
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International Monetary Fund (IMF) 4 University of Bonn, Germany 2 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1 ESRC Centre for Economic Learning and Social Evolution (ELSE), Department of Economics 1 EconWPA 1 Swiss Finance Institute 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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IMF Working Papers 4 Journal of Multivariate Analysis 2 Statistics & Probability Letters 2 Asia-Pacific Financial Markets 1 Discussion Paper Serie A 1 Discussion Paper Serie B 1 ELSE working papers 1 Econometric reviews 1 Economics Papers from University Paris Dauphine 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 FAME Research Paper Series 1 Finance 1 Finance research letters 1 International Journal of Financial Markets and Derivatives : IJFMD 1 International Journal of Financial Studies : open access journal 1 International game theory review : IGTR 1 Journal of Econometrics 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Journal of mathematical finance 1 Mathematics and Computers in Simulation (MATCOM) 1 RePAd Working Paper Series 1 Review of Derivatives Research 1 Review of derivatives research 1 Swiss Finance Institute Research Paper Series 1 The journal of futures markets 1
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Source
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RePEc 22 ECONIS (ZBW) 10 BASE 3
Showing 1 - 10 of 35
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
conditional characteristic functions. Such solutions recover verbatim those of the uncorrelated case which encompasses a range of …
Persistent link: https://www.econbiz.de/10014636327
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Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
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Cooperative game-theoretic models of the cournot oligopoly
Korolev, Alexey V.; Ougolnitsky, Guennady A. - In: International game theory review : IGTR 25 (2023) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10014436168
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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645
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Pricing arithmetic Asian options under jump diffusion CIR processes
Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436988
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Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
Bierens, Herman J.; Wang, Li - In: Econometric reviews 36 (2017) 1/3, pp. 103-135
Persistent link: https://www.econbiz.de/10011795009
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Mathematical analysis of financial model on market price with stochastic volatility
Mondal, Mitun Kumar; Alim, Md. Abdul; Rahman, Md. Faizur; … - In: Journal of mathematical finance 7 (2017) 2, pp. 351-365
Persistent link: https://www.econbiz.de/10011673935
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Optimum attributes component test plans for k-out-of-n:F Weibull systems using prior information
Fernández, Arturo J. - In: European Journal of Operational Research 240 (2015) 3, pp. 688-696
Assuming that the proportion defective in a production process p is variable and the component lifetimes are Weibull distributed, integer nonlinear programming problems are formulated and solved in order to determine the optimum component inspection scheme by attributes for k-out-of-n:F system...
Persistent link: https://www.econbiz.de/10011052460
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Optimum attributes component test plans for k-out-of-n:F Weibull systems using prior information
Fernández, Arturo J. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 688-696
Persistent link: https://www.econbiz.de/10010486969
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - International Monetary Fund (IMF) - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...
Persistent link: https://www.econbiz.de/10005825819
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