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  • Search: subject:"Diffusion Processes"
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Year of publication
Subject
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diffusion processes 65 Diffusion processes 44 Stochastischer Prozess 41 Stochastic process 40 Diffusion Processes 34 Option pricing theory 22 Optionspreistheorie 22 Technological Change: Choices and Consequences 22 Innovationsdiffusion 18 Innovation diffusion 17 Jump-diffusion processes 17 Theorie 17 Asset and Liability Management 16 Benchmarked Asset Management 16 Classical Solutions 16 Dynamic Investment Management 16 Hamilton–Jacobi–Bellman Equations 16 Jump Diffusion Processes 16 Kelly Criterion 16 Lévy Processes 16 Risk Sensitive Control 16 Stochastic Control 16 Viscosity Solutions 16 jump-diffusion processes 15 Volatility 14 Volatilität 14 Theory 13 stochastic volatility 10 Option trading 9 Optionsgeschäft 9 Schätztheorie 9 equation 9 Derivat 8 Derivative 8 Economic models 8 Estimation theory 8 Jump diffusion processes 8 Technischer Fortschritt 8 Technological change 8 correlation 8
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Online availability
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Undetermined 111 Free 107 CC license 1
Type of publication
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Article 145 Book / Working Paper 111
Type of publication (narrower categories)
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Article in journal 53 Aufsatz in Zeitschrift 53 Working Paper 19 Graue Literatur 10 Non-commercial literature 10 Arbeitspapier 9 Article 3 Aufsatz im Buch 1 Book section 1 Conference Paper 1 Conference paper 1 Konferenzbeitrag 1 Thesis 1
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Language
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Undetermined 152 English 102 French 1 Romanian 1
Author
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Lleo, Sébastien 17 Davis, Mark H. A. 16 Corradi, Valentina 9 Iacus, Stefano 7 Swanson, Norman R. 6 Gregorio, Alessandro De 5 Platen, Eckhard 5 Bruti-Liberati, Nicola 4 Wang, Xingchun 4 Chan-Lau, Jorge A. 3 Chiarella, Carl 3 Grebel, Thomas 3 Hashemi, Fariba 3 Hoffmann, Marc 3 Iacus, Stefano Maria 3 Koo, Bonsoo 3 Krichene, Noureddine 3 Linton, Oliver 3 Moloche, Guillermo 3 Müller-Langer, Frank 3 Sabino, Piergiacomo 3 Trede, Mark 3 Wilfer, Tom 3 Wilfling, Bernd 3 Yoshida, Nakahiro 3 Ziogas, Andrew 3 Akcomak, Semih 2 Amaya, Diego 2 Antonioni, Alberto 2 Bandi, Federico 2 Ben-Abdellatif, Malek 2 Ben-Ameur, Hatem 2 Bhardwaj, Geetesh 2 Cheang, Gerald H. L. 2 Christensen, Sören 2 Chérif, Rim 2 Crespi G.A. 2 Cufaro Petroni, Nicola 2 Dai, Hongshuai 2 De Gregorio, Alessandro 2
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Institution
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United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT) 15 International Monetary Fund (IMF) 9 Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 7 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Finance Discipline Group, Business School 6 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 3 Department of Economics, Rutgers University-New Brunswick 3 Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum - Università di Bologna 2 Graduate School of Business and Economics (GSBE), School of Business and Economics 2 HAL 2 London School of Economics (LSE) 2 School of Economics and Management, University of Aarhus 2 United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology 2 C.E.P.R. Discussion Papers 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Department of Agricultural, Food and Resource Economics, Michigan State University 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, University of Utah 1 Dipartimento di Economia e Diritto, Facoltà di Economia 1 Département d'Économique, Université Laval 1 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 1 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1 Econometric Society 1 European Regional Science Association 1 Facoltà di Economia, Università degli Studi di Urbino 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 HWWA Institut für Wirtschaftsforschung 1 International Monetary Fund 1 School of Economics, Faculty of Arts and Social Sciences 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 UNIVERSIDAD CATOLICA DE COLOMBIA 1 Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena 1 World Scientific Publishing Co. Pte. Ltd. 1 Zentrum für Europäische Wirtschaftsforschung (ZEW) 1 Økonomisk Institut, Københavns Universitet 1
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Published in...
All
MERIT Working Papers 15 Risk-Sensitive Investment Management 15 Stochastic Processes and their Applications 10 IMF Working Papers 9 MPRA Paper 7 UNIMI - Research Papers in Economics, Business, and Statistics 7 Physica A: Statistical Mechanics and its Applications 6 Research Paper Series / Finance Discipline Group, Business School 6 International Journal of Theoretical and Applied Finance (IJTAF) 5 Quantitative finance 5 Statistical Inference for Stochastic Processes 4 Working Paper 4 Annals of the Institute of Statistical Mathematics 3 CIRANO Working Papers 3 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 3 Finance and Stochastics 3 International journal of theoretical and applied finance 3 Quantitative Finance 3 Working papers / Università degli Studi di Milano, Dipartimento di Scienze Economiche, Aziendali e Statistiche 3 ASTIN bulletin : the journal of the International Actuarial Association 2 Annals of Faculty of Economics 2 CREATES Research Papers 2 Computational Statistics 2 Empirical Economics 2 Finance research letters 2 Games 2 Jena Economic Research Papers 2 Journal of Evolutionary Economics 2 Journal of economic dynamics & control 2 Journal of mathematical finance 2 LSE Research Online Documents on Economics 2 Management Science 2 Mathematical Methods of Operations Research 2 Post-Print / HAL 2 Quaderni di Dipartimento 2 Research Memorandum / Graduate School of Business and Economics (GSBE), School of Business and Economics 2 Research Policy 2 Research policy : policy, management and economic studies of science, technology and innovation 2 Statistics & Probability Letters 2 Swiss Finance Institute Research Paper 2
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Source
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RePEc 173 ECONIS (ZBW) 65 EconStor 14 BASE 4
Showing 91 - 100 of 256
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Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola; Nikitopoulos-Sklibosios, Christina - Finance Discipline Group, Business School - 2009
forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing. 1 Introduction This paper considers …
Persistent link: https://www.econbiz.de/10004984578
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Pseudo phi-divergence test statistics and multidimensional Ito processes
De Gregorio, Alessandro; Iacus, Stefano Maria - 2009
Persistent link: https://www.econbiz.de/10011751962
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Bridges in social capital: A review of the definitions and the social capital of social capital researchers
Akcomak, Semih - United Nations University-Maastricht Economic Research … - 2009
There has been a recent surge of interest in social economics and social capital. Articles on social capital that are published in the last five years constitute more than 60 percent of all articles on social capital. Research on social capital is now massive and spans sociology, economics,...
Persistent link: https://www.econbiz.de/10010856316
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Explaining the lack of dynamics in the diffusion of small stationary fuel cells
Droste-Franke, Bert; Kruger, Jorg; Lingner, Stephan; … - United Nations University-Maastricht Economic Research … - 2009
Using the reaction of hydrogen with oxygen to water in order to produce electricity and heat, promises a high electrical efficiency even in small devices which can be installed close to the consumer. This approach seems to be an impressive idea to contribute to a viable future energy supply...
Persistent link: https://www.econbiz.de/10010856419
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Pseudo phi-divergence test statistics and multidimensional Ito processes
Gregorio, Alessandro De; Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2009
We consider parametric hypotheses testing for multidimensional It\^o processes, possibly with jumps, observed at discrete time. To this aim, we propose the whole class of pseudo $\phi$-divergence test statistics, which include as a special case the well-known likelihood ratio test but also many...
Persistent link: https://www.econbiz.de/10009324421
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Analytical and Computational Study of Economic Dynamical Processes by Methods of Wave Dynamics
Bagdoev, Alexsander; Vardanyan, Sedrak; Karapetyan, Diana; … - In: Applied Econometrics 13 (2009) 1, pp. 50-69
transition probabilities of Markov diffusion processes and the ones of random functions values. By using the mean curves of …
Persistent link: https://www.econbiz.de/10009366503
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Bandwidth selection for continuous-time Markov processes
Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009
scalar and multivariate diffusion processes, jump-diffusion processes, as well as processes measured with error as is the …
Persistent link: https://www.econbiz.de/10011113065
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Jump-diffusion asset-liabilty management via risk-sensitive control
Davis, Mark H. A.; Lleo, Sébastien - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 655-675
Persistent link: https://www.econbiz.de/10011296728
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On the forward rate concept in multi-state life insurance
Christiansen, Marcus C.; Niemeyer, Andreas - In: Finance and stochastics 19 (2015) 2, pp. 295-327
Persistent link: https://www.econbiz.de/10011417945
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Robustness of stable volatility strategies
Branger, Nicole; Mahayni, Antje; Zieling, Daniel - In: Journal of economic dynamics & control 60 (2015), pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
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