Search Results - subject:"Diffusion Process"

On the probability of default in a market with price clustering and jump risk

Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10012240142

Stock index options pricing under jump patterns driven by market states

Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859

Persistent link: https://www.econbiz.de/10012211508

Exchange options under clustered jump dynamics

Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967

Persistent link: https://www.econbiz.de/10012262652

Numerical ross recovery for diffusion processes using a PDE approach

Sydow, Lina von; Walden, Johan - In: Applied mathematical finance 27 (2020) 1/2, pp. 46-66

Persistent link: https://www.econbiz.de/10012254095

Probabilistic forecasting in day-ahead electricity markets : simulating peak and off-peak prices

Muniain, Peru; Ziel, Florian - In: International journal of forecasting 36 (2020) 4, pp. 1193-1210

Persistent link: https://www.econbiz.de/10012546078

Volatility estimation and jump detection for drift-diffusion processes

Laurent, Sébastien; Shi, Shuping - In: Journal of econometrics 217 (2020) 2, pp. 259-290

Persistent link: https://www.econbiz.de/10012482762

Singular diffusions, constant elasticity of variance processes and logarithmic rates of return

Liu, Siqi; Melia, Adrian; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 26 (2020) 9, pp. 837-853

Persistent link: https://www.econbiz.de/10012207313

The Dynamics of Comparative Advantage

Hanson, Gordon H.; Lind, Nelson; Muendler, Marc-Andreas - 2015

This paper characterizes the dynamic empirical properties of country export capabilities in order to inform modelling of the long-run behavior of comparative advantage. The starting point for our analysis is two strong empirical regularities in international trade that have previously been...

Persistent link: https://www.econbiz.de/10011431163

Understanding cultural geography as a pseudo-diffusion process: The case of the Veneto Region

Ferilli, Guido; Sacco, Pier Luigi; Buscema, Massimo; … - In: Economies 3 (2015) 2, pp. 100-127

In this paper, we study the cultural geography of the Veneto Region on the basis of a pseudo-diffusion approach to the analysis of the inherent semantic spatial data. We find somewhat surprising results, and, in particular, that Venice, indisputably the Region's cultural hub in terms of...

Persistent link: https://www.econbiz.de/10011708704

Understanding cultural geography as a pseudo-diffusion process : the case of the Veneto Region

Ferilli, Guido; Sacco, Pier Luigi; Buscema, Massimo; … - In: Economies : open access journal 3 (2015) 2, pp. 100-127

Persistent link: https://www.econbiz.de/10011281873