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  • Search: subject:"Diffusion Process"
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Year of publication
Subject
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Stochastischer Prozess 80 Stochastic process 78 diffusion process 61 Diffusion process 59 Theorie 48 Option pricing theory 47 Optionspreistheorie 47 Theory 43 Jump-diffusion process 38 Volatilität 28 Volatility 25 jump-diffusion process 24 Markov chain 20 Markov-Kette 19 Portfolio selection 19 Portfolio-Management 19 Option trading 16 Optionsgeschäft 16 equations 15 equation 14 probabilities 14 CAPM 13 probability 13 statistics 13 Economic models 12 Innovationsdiffusion 11 covariance 11 stochastic differential equation 11 time series 11 Diffusion Process 10 Estimation theory 10 Innovation diffusion 10 Real options analysis 10 Realoptionsansatz 10 Schätztheorie 10 Statistische Verteilung 10 Zeitreihenanalyse 10 correlation 10 probability distribution 10 Credit risk 9
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Online availability
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Undetermined 173 Free 96 CC license 3
Type of publication
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Article 232 Book / Working Paper 85
Type of publication (narrower categories)
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Article in journal 109 Aufsatz in Zeitschrift 109 Working Paper 20 Arbeitspapier 9 Graue Literatur 9 Non-commercial literature 9 Article 5 Thesis 2 research-article 2 Aufsatz im Buch 1 Book section 1
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Language
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English 169 Undetermined 147 Spanish 1
Author
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Yoshida, Nakahiro 10 Alfarano, Simone 8 Iacus, Stefano 6 Gao, Jiti 5 Gapeev, Pavel V. 5 Milaković, Mishael 5 Swanson, Norman R. 5 Asai, Manabu 4 Irle, Albrecht 4 Kauschke, Jonas 4 Krichene, Noureddine 4 Kristensen, Dennis 4 McAleer, Michael 4 Mundt, Philipp 4 Negri, Ilia 4 Uchida, Masayuki 4 Cai, Lili 3 Christiansen, Marcus C. 3 Duong, Diep 3 Jang, Jiwook 3 Lee, Sangyeol 3 Lin, Shih-kuei 3 Milakovic, Mishael 3 Nishiyama, Yoichi 3 Vaugirard, Victor 3 Yu, Jun 3 Anand, Adarsh 2 Andergassen, Rainer 2 Barraclough, Kathryn 2 Beck, Nikolaus 2 Beskos, Alexandros 2 Blanchet-Scalliet, Christophette 2 Blessi, Giorgio Tavano 2 Buscema, Massimo 2 Cadenillas, Abel 2 Casas, Isabel 2 Chakrabarti, Anindya S. 2 Chan-Lau, Jorge A. 2 Chen, Xianzhe 2 Dehling, Herold 2
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Institution
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International Monetary Fund (IMF) 15 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 HAL 6 International Monetary Fund 3 Department of Economics, Rutgers University-New Brunswick 2 Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 2 School of Economics and Management, University of Aarhus 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Agricultural and Applied Economics Association - AAEA 1 Bamberg Economic Research Group on Government and Growth (BERG), Volkswirtschaftslehre 1 Berkeley Electronic Press 1 Business School, University of Exeter 1 Departament d'Economia, Universitat Jaume I 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, University of Texas-Austin 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1 Econometric Society 1 Economic Research Southern Africa (ERSA) 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Forschungsstelle Nachhaltige Umweltentwicklung (ZMK), Universität Hamburg 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute for Monetary and Economic Studies, Bank of Japan 1 International Centre for Economic Research (ICER) 1 London School of Economics (LSE) 1 Morrison School of Agribusiness & Resource Management, Arizona State University East 1 Staatswissenschaftliche Fakultät, Wirtschaftswissenschaft, Universität Erfurt 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 Tinbergen Instituut 1 University of Bonn, Germany 1 Zentrum für Europäische Wirtschaftsforschung (ZEW) 1 Økonomisk Institut, Københavns Universitet 1
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Published in...
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Statistical Inference for Stochastic Processes 23 IMF Working Papers 14 Physica A: Statistical Mechanics and its Applications 12 Annals of the Institute of Statistical Mathematics 8 Insurance / Mathematics & economics 7 International journal of theoretical and applied finance 7 MPRA Paper 7 Stochastic Processes and their Applications 7 Statistics & Probability Letters 5 International Journal of Theoretical and Applied Finance (IJTAF) 4 Working Papers / HAL 4 Applied Mathematical Finance 3 BERG Working Paper Series 3 International journal of financial engineering 3 Journal of econometrics 3 Quantitative finance 3 Risks 3 Risks : open access journal 3 Studies in Nonlinear Dynamics & Econometrics 3 The North American journal of economics and finance : a journal of financial economics studies 3 Annals of finance 2 Applied mathematical finance 2 Asia-Pacific Journal of Operational Research (APJOR) 2 Astin bulletin : the journal of the International Actuarial Association 2 BERG working paper series 2 CREATES Research Papers 2 Computational Statistics 2 Computational Statistics & Data Analysis 2 Computational economics 2 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 2 Economics Letters 2 European journal of operational research : EJOR 2 Finance and Stochastics 2 Insurance: Mathematics and Economics 2 International review of economics & finance : IREF 2 Journal of Income Distribution 2 Journal of economic dynamics & control 2 Journal of economic theory 2 Management science : journal of the Institute for Operations Research and the Management Sciences 2 Mathematical Methods of Operations Research 2
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Source
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RePEc 176 ECONIS (ZBW) 119 EconStor 17 Other ZBW resources 3 BASE 2
Showing 51 - 60 of 317
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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/10011392498
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Variation of wrong-way risk management and its impact on security price changes
Adachi, Tetsuya; Uchida, Yoshihiko - 2015
Persistent link: https://www.econbiz.de/10011375975
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Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743
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Pricing discrete barrier options under jump-diffusion model with liquidity risk
Li, Zhe; Zhang, Wei-guo; Liu, Yong-Jun; Zhang, Yue - In: International review of economics & finance : IREF 59 (2019), pp. 347-368
Persistent link: https://www.econbiz.de/10012202898
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Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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Try before you buy : a theory of dynamic information acquisition
Lang, Ruitian - In: Journal of economic theory 183 (2019), pp. 1057-1093
Persistent link: https://www.econbiz.de/10012131435
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
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Aplicaciones de la física estadística en la valoración de activos financieros : de la ecuación de Fokker-Planck al modelo de Black-Scholes ; solución en diferencias finitas para una opción PUT europea
Caro Barrera, José Rafael - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 13-28
Persistent link: https://www.econbiz.de/10012062758
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A switching self-exciting jump diffusion process for stock prices
Hainaut, Donatien; Moraux, Franck - In: Annals of finance 15 (2019) 2, pp. 267-306
Persistent link: https://www.econbiz.de/10012058243
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Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
Jiang, Zhengjun - In: Insurance / Mathematics & economics 86 (2019), pp. 1-7
Persistent link: https://www.econbiz.de/10012058679
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