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Search: subject:"Constant elasticity of variance"
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Option pricing theory
24
Optionspreistheorie
24
Stochastic process
22
Stochastischer Prozess
22
Volatility
22
Volatilität
22
constant elasticity of variance
14
Portfolio selection
13
Portfolio-Management
13
Elasticity
11
Elastizität
11
Analysis of variance
10
Derivat
10
Derivative
10
Varianzanalyse
10
Option trading
9
Optionsgeschäft
9
Theorie
9
Theory
9
Black-Scholes model
7
Black-Scholes-Modell
7
CAPM
7
Constant elasticity of variance
7
Constant elasticity of variance model
7
Option pricing
7
Estimation
6
Schätzung
6
Credit risk
5
Kreditrisiko
5
Constant-Elasticity-of-Variance (CEV) Diffusion
4
Hedging
4
constant elasticity of variance model
4
growth optimal portfolio
4
Bubbles
3
CEV
3
Constant elasticity of variance (CEV)
3
Corporate Bonds
3
Credit Default Swaps
3
Equity
3
Estimation theory
3
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Undetermined
36
Free
8
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Article
46
Book / Working Paper
8
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Article in journal
35
Aufsatz in Zeitschrift
35
Aufsatz im Buch
2
Book section
2
Language
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English
38
Undetermined
16
Author
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Platen, Eckhard
5
Rong, Ximin
4
Zhao, Hui
4
Li, Danping
3
Baldeaux, Jan
2
Campi, L.
2
Campi, Luciano
2
Carr, Peter
2
Chen, Ren-Raw
2
Jacobs, Michael <Jr.>
2
Kim, Jeong-Hoon
2
Lee, Cheng F.
2
Lee, Han-Hsing
2
Polbennikov, Simon
2
Sbuelz
2
Sbuelz, A.
2
Wu, Liuren
2
Attaoui, Sami
1
Bae, Hyeong-Ohk
1
Capriotti, Luca
1
Chen, Ping
1
Dawson, Philip J.
1
Diop, Sidy
1
Francesco, Marco Di
1
Gao, Bo
1
Gogala, Jaka
1
Gu, Ailing
1
Guo, Xianping
1
Heath, David
1
Hsu, Y. L.
1
Hsu, Y.L.
1
Hsu, Yi-Hwa
1
Ignatieva, Ekaterina
1
Ignatieva, Katja
1
Jang, Bong-Gyu
1
Jiang, Yupeng
1
Jung, Eun Ju
1
Kang, Seunggu
1
Kennedy, Joanne E.
1
Kim, Changki
1
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Finance Discipline Group, Business School
3
Dipartimento di Scienze Economiche, Facoltà di Economia
2
Tilburg University, Center for Economic Research
2
Published in...
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Insurance / Mathematics & economics
3
Research Paper Series / Finance Discipline Group, Business School
3
Applied Mathematical Finance
2
Discussion Paper / Tilburg University, Center for Economic Research
2
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4
2
IMA journal of management mathematics
2
Insurance: Mathematics and Economics
2
International journal of bonds and derivatives
2
International journal of financial engineering
2
Operations research letters
2
The European journal of finance
2
Working Papers / Dipartimento di Scienze Economiche, Facoltà di Economia
2
Annals of finance
1
Applied Financial Economics
1
Applied economics letters
1
Applied mathematical finance
1
Bloomberg Portfolio Research Paper
1
Computational economics
1
Finance research letters
1
International Journal of Business and Economics
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International journal of theoretical and applied finance
1
Inventi impact: emerging economies
1
Journal of agricultural economics
1
Journal of banking & finance
1
Journal of derivatives & hedge funds
1
Journal of financial and quantitative analysis : JFQA
1
Journal of mathematical finance
1
Journal of risk
1
Journal of the Operational Research Society
1
Mathematics and Computers in Simulation (MATCOM)
1
Modern economy
1
Quantitative finance
1
Review of Pacific Basin Financial Markets and Policies (RPBFMP)
1
Review of derivatives research
1
Statistics & Probability Letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of computational finance
1
The journal of futures markets
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
38
RePEc
16
Showing
21
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21
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
22
A nonlinear diffusion model for electricity prices and derivatives
Tong, Zhigang
;
Liu, Allen
- In:
International journal of bonds and derivatives
3
(
2017
)
4
,
pp. 290-319
Persistent link: https://www.econbiz.de/10011877179
Saved in:
23
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
;
Yi, Bo
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 6-20
Persistent link: https://www.econbiz.de/10011691490
Saved in:
24
On the
constant
elasticity
of
variance
model for the utility maximization problem with multiple risky assets
Zhao, Hui
;
Rong, Ximin
- In:
IMA journal of management mathematics
28
(
2017
)
2
,
pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
Saved in:
25
A new statistic to capture the level dependence in stock price volatility
Padmakumari, Lakshmi
;
Maheswaran, S.
- In:
The quarterly review of economics and finance : journal …
65
(
2017
),
pp. 355-362
Persistent link: https://www.econbiz.de/10011792503
Saved in:
26
The optimal investment problem for an insurer and a reinsurer under the
constant
elasticity
of
variance
model
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
- In:
IMA journal of management mathematics
27
(
2016
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10011567155
Saved in:
27
The impact of asset price bubbles on credit risk measures
Jacobs, Michael <Jr.>
- In:
Inventi impact: emerging economies
(
2016
)
3
,
pp. 160-175
Persistent link: https://www.econbiz.de/10011567800
Saved in:
28
Mean-variance asset-liability management under
constant
elasticity
of
variance
process
Zhang, Miao
;
Chen, Ping
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 11-18
Persistent link: https://www.econbiz.de/10011597077
Saved in:
29
The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective
Jacobs, Michael <Jr.>
- In:
International journal of bonds and derivatives
2
(
2016
)
2
,
pp. 152-182
Persistent link: https://www.econbiz.de/10011587544
Saved in:
30
Optimal pairs trading with time-varying volatility
Li, Thomas Nanfeng
;
Tourin, Agnès
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011588167
Saved in:
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