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  • Search: subject:"Diffusion Model"
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Year of publication
Subject
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Optionspreistheorie 68 Stochastic process 68 Option pricing theory 67 Stochastischer Prozess 67 Innovation diffusion 62 Innovationsdiffusion 61 Theorie 54 Theory 54 Volatility 46 Volatilität 46 Bass diffusion model 32 Diffusion model 31 jump-diffusion model 26 Option trading 25 Optionsgeschäft 25 diffusion model 24 Jump-diffusion model 21 CAPM 20 Schätztheorie 18 Estimation theory 17 Estimation 15 Forecasting model 15 Jump diffusion model 15 Portfolio selection 15 Portfolio-Management 15 Prognoseverfahren 15 Schätzung 14 Consumer behaviour 13 Konsumentenverhalten 13 Börsenkurs 12 Share price 12 jump diffusion model 12 Innovation 11 Monte Carlo simulation 11 Risk 11 Black-Scholes model 10 Black-Scholes-Modell 10 Experiment 10 Risiko 10 Time series analysis 10
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Online availability
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Undetermined 148 Free 95 CC license 4
Type of publication
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Article 236 Book / Working Paper 70
Type of publication (narrower categories)
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Article in journal 150 Aufsatz in Zeitschrift 150 Working Paper 27 Graue Literatur 16 Non-commercial literature 16 Arbeitspapier 15 research-article 10 Article 8 Aufsatz im Buch 5 Book section 5 Thesis 3 Conference paper 2 Konferenzbeitrag 2 Book Part 1 Conference Paper 1 Hochschulschrift 1
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Language
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English 225 Undetermined 80 German 1
Author
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Siu, Tak Kuen 5 Stübinger, Johannes 5 Aboura, Sofiane 4 Björk, Tomas 4 Corradi, Valentina 4 Fabozzi, Frank J. 4 Forbes, Catherine Scipione 4 Kleppe, Tore Selland 4 Kostrzewski, Maciej 4 Krajbich, Ian 4 Maneesoonthorn, Worapree 4 Martin, Gael M. 4 Ngoie, Jacques Kibambe 4 Silvapulle, Mervyn J. 4 Skaug, Hans J. 4 Strittmatter, Anthony 4 Sunde, Uwe 4 Yu, Jun 4 Cagliano, Anna Corinna 3 Chen, Jun-Home 3 Endres, Sylvia 3 Framstad, Nils Chr. 3 Hainaut, Donatien 3 Krichene, Noureddine 3 Lee, Chul-Yong 3 Lian, Yu-Min 3 Malinovskii, Vsevolod K. 3 Mangano, Giulio 3 Muroi, Yoshifumi 3 Rafele, Carlo 3 Suda, Shintaro 3 Swanson, Norman R. 3 Vasiljević, Nikola 3 Xu, Weijun 3 Zheng, Harry 3 Alekseev, Aleksandr G. 2 Amaya, Ingrid Y. 2 Archontakis, Fragiskos 2 Biele, Guido P. 2 Branger, Nicole 2
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Institution
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International Monetary Fund (IMF) 6 Université Paris-Dauphine (Paris IX) 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 School of Economics, Singapore Management University 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Bank for International Settlements (BIS) 1 Banque de France 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Colwell, David , Banking & Finance, Australian School of Business, UNSW 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Rutgers University-New Brunswick 1 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 1 EconWPA 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 Economic Research Southern Africa (ERSA) 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW 1 Santa Fe Institute 1 Society for Computational Economics - SCE 1 Technology Management, Economics and Policy Program (TEMEP), Seoul National University 1 United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology 1 United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT) 1 Université Paris-Dauphine 1 Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Computational economics 8 Technological forecasting & social change : an international journal 7 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Industrial Management & Data Systems 5 Journal of econometrics 5 Management science : journal of the Institute for Operations Research and the Management Sciences 5 Finance and Stochastics 4 Finance research letters 4 Insurance 4 International journal of production economics 4 International journal of theoretical and applied finance 4 Journal of Econometrics 4 Management Science 4 Applied economics letters 3 Central European journal of economic modelling and econometrics 3 Economics Papers from University Paris Dauphine 3 Energy Policy 3 International journal of financial engineering 3 Journal of economic dynamics & control 3 Journal of the Economic Science Association : JESA : a companion journal to Experimental economics 3 Quantitative finance 3 Risks 3 SFB 649 Discussion Paper 3 SSE/EFI Working Paper Series in Economics and Finance 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 Applied Mathematical Finance 2 Applied mathematical finance 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Econometrics 2 Economic modelling 2 Economic research 2 Energy economics 2 European journal of operational research : EJOR 2 Insurance: Mathematics and Economics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of banking & finance 2 Journal of business research : JBR 2 Journal of engineering and technology management : JET-M 2
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Source
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ECONIS (ZBW) 171 RePEc 97 EconStor 23 Other ZBW resources 10 BASE 5
Showing 281 - 290 of 306
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Jump diffusion model with application to the Japanese stock market
Maekawa, Koichi; Lee, Sangyeol; Morimoto, Takayuki; … - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 223-236
In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than … data has jumps. For modeling the data, we choose Kou’s [S.G. Kou, A jump diffusion model for option pricing, Manage. Sci …
Persistent link: https://www.econbiz.de/10010748745
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The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of Quantitative Finance and Accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10005701232
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Moment explosions in stochastic volatility models
Andersen, Leif; Piterbarg, Vladimir - In: Finance and Stochastics 11 (2007) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10005184392
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Eliminating the mean-free-path inconsistency in classical phenomenological model of diffusion for fluids
Aranovich, G.L.; Donohue, M.D. - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 119-141
Classical phenomenological model of diffusion in fluids is based on the concept of the mean-free-path, λ, and density distribution, n(x,t), as a function of coordinate, x, and time, t. Under the assumption that(1)n(x-λ,t)-n(x+λ,t)≈-2λ(∂n/∂x),this model results in the classical...
Persistent link: https://www.econbiz.de/10011059397
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Information Asymmetry in the French Market around Crises
Bellalah, Mondher; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2007
to these tragic events? We implement an information cost model and a jump diffusion model to capture the magnitude of …
Persistent link: https://www.econbiz.de/10011073931
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Towards a General Theory of Bond Markets.
Björk, Tomas; di Masi, Giovanni; Kabanov, Yuri; … - Economics Institute for Research (SIR), … - 1996
measure is discussed and HJM-type conditions are derived for a jump-diffusion model. The question of market completeness is …
Persistent link: https://www.econbiz.de/10005207189
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Evaluating the market potential of innovations: A structured survey of diffusion models
Baudisch, Alexander Frenzel; Grupp, Hariolf - Wirtschaftswissenschaftliche Fakultät, … - 2006
This paper provides a systematic methodology to identify general innovation diffusion patterns in a given case study: First, an analytical framework is introduced which structures a review of innovation diffusion research. This framework may be used to structure the analysis of a case study....
Persistent link: https://www.econbiz.de/10005786022
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Oxygen transport from the outer boundary of a pulsating wall of an arteriole
Limon, Alfonso; Bertuglia, Silvia; Nadim, Ali; Salamon, … - In: Mathematics and Computers in Simulation (MATCOM) 73 (2006) 1, pp. 175-182
part because the experimental data are not in accordance with the well-established Krogh diffusion model. In this paper …
Persistent link: https://www.econbiz.de/10010870496
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Pricing CAC 40 Index Options under Asymmetry of Information.
Aboura, Sofiane - Université Paris-Dauphine - 2005
This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.
Persistent link: https://www.econbiz.de/10008572194
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Two interpretations of the discrimination parameter
Tuerlinckx, Francis; Boeck, Paul - In: Psychometrika 70 (2005) 4, pp. 629-650
Persistent link: https://www.econbiz.de/10005758020
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