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  • Search: subject:"Continuous-time Markov chains"
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Year of publication
Subject
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Markov chain 8 Markov-Kette 8 Continuous-time Markov chains 6 Stochastic process 5 Stochastischer Prozess 5 continuous-time Markov chains 5 Option pricing theory 4 Optionspreistheorie 4 Theorie 4 Theory 4 Continuous time Markov chains 3 Option trading 3 Optionsgeschäft 3 Volatility 3 Volatilität 3 Conformism 2 Laplace inversion 2 Mean field interaction 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Probability theory 2 Random utility models 2 Social interaction 2 Wahrscheinlichkeitsrechnung 2 continuous time Markov chains 2 stochastic volatility 2 American option pricing 1 Analysis 1 Array-RQMC 1 Asia 1 Asien 1 Birth-death Process 1 Black-Scholes model 1 Black-Scholes-Modell 1 Business process management 1 COVID-19 1 Call centers 1 Channel Sharing 1 Chemical industry 1 Chemical reaction networks 1
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Online availability
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Undetermined 16 Free 2
Type of publication
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Article 16 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 10 Undetermined 9
Author
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Barucci, Emilio 2 Cui, Zhenyu 2 Ma, Jingtang 2 Tolotti, Marco 2 Yang, Wensheng 2 ALBANESE, CLAUDIO 1 Albanese, Claudio 1 Ben Abdellah, Amal 1 Bladt, Mogens 1 Brockhaus, Oliver 1 Cai, Ning 1 Deshmukh, Shailaja 1 Dubois, Mathieu 1 Gapeev, Pavel V. 1 Garrouste, Christelle 1 Ghani, Sayeed 1 Huberts, Nick F. D. 1 Jouini, Oualid 1 Karathanasopoulos, Andreas 1 Khan, Anwar Ahmed 1 Korolev, V. Yu. 1 Kou, Steven 1 L'Ecuyer, Pierre 1 Lo, Chia Chun 1 Lo, Harry 1 Loi, Massimo 1 MIJATOVIĆ, ALEKSANDAR 1 Madhira, Sivaprasad 1 Mohebbi, Esmail 1 Puchhammer, Florian 1 Roubos, Alex 1 Siddiqui, Shama 1 Skindilias, Konstantinos 1 Song, Yingda 1 SØrensen, Michael 1 Thijssen, Jacco J. J. 1 Tompaidis, Stathis 1 Valchev, Stoyan 1 Zeifman, A.I. 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of economic dynamics & control 2 Applied Mathematical Finance 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 INFORMS journal on computing : JOC 1 International Journal of Applied Management Science 1 International Journal of Production Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International Journal of Wireless Networks and Broadband Technologies (IJWNBT) 1 International journal of theoretical and applied finance 1 Journal of Economic Dynamics and Control 1 Journal of forecasting 1 Les cahiers du GERAD 1 MPRA Paper 1 Mathematical methods of operations research : ZOR 1 Quantitative Finance 1 Statistics & Probability Letters 1
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Source
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ECONIS (ZBW) 9 RePEc 9 Other ZBW resources 1
Showing 1 - 10 of 19
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Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks
Puchhammer, Florian; Ben Abdellah, Amal; L'Ecuyer, Pierre - 2021
Persistent link: https://www.econbiz.de/10012599478
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Optimal timing of non-pharmaceutical interventions during an epidemic
Huberts, Nick F. D.; Thijssen, Jacco J. J. - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1366-1389
Persistent link: https://www.econbiz.de/10013498805
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
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Introduction to Stochastic Processes Using R
Madhira, Sivaprasad; Deshmukh, Shailaja - 2023
Galton Watson Branching Process -- Continuous Time Markov Chains -- Poisson Process -- Birth and Death Processes -- Brownian …
Persistent link: https://www.econbiz.de/10014425470
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Computable error bounds of Laplace inversion for pricing asian options
Song, Yingda; Cai, Ning; Kou, Steven - In: INFORMS journal on computing : JOC 30 (2018) 4, pp. 634-645
Persistent link: https://www.econbiz.de/10011966537
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On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
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School-to-work transitions in Europe: Paths towards a permanent contract
Garrouste, Christelle; Loi, Massimo - Volkswirtschaftliche Fakultät, … - 2011
In a context of intensive and global economic competition, European countries are growingly concerned with the consequences of increasing numbers of young people temporarily or permanently prevented from entering the job market and the difficulties faced by college and university graduates to...
Persistent link: https://www.econbiz.de/10009652934
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On perturbation bounds for continuous-time Markov chains
Zeifman, A.I.; Korolev, V. Yu. - In: Statistics & Probability Letters 88 (2014) C, pp. 66-72
total variation. Two important classes of continuous-time Markov chains are considered for which it is possible to obtain …
Persistent link: https://www.econbiz.de/10011040081
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Call centers with hyperexponential patience modeling
Roubos, Alex; Jouini, Oualid - In: International Journal of Production Economics 141 (2013) 1, pp. 307-315
An important feature in call center modeling is the presence of impatient customers. In this paper we show, using real data, that we can realistically model the patience distribution by the hyperexponential distribution. Since the hyperexponential distribution is a mixture of exponential...
Persistent link: https://www.econbiz.de/10010594385
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