EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Diffusion coefficient function"
Narrow search

Narrow search

Year of publication
Subject
All
constant elasticity of variance model 2 derivative hedging 2 diffusion coefficient function 2 growth optimal portfolio 2 kernel estimation 2 7901 05-05-14; 7835/0206 1 Analysis of variance 1 Derivat 1 Derivative 1 Diffusion coefficient function 1 Diversified world stock index 1 Estimation 1 Estimation theory 1 Hedging 1 Kernel density 1 Nonparametric estimation 1 Portfolio selection 1 Portfolio-Management 1 Schätztheorie 1 Schätzung 1 Square root process 1 Stochastic process 1 Stochastischer Prozess 1 Varianzanalyse 1
more ... less ...
Online availability
All
Undetermined 2 Free 1
Type of publication
All
Article 2 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 2 English 1
Author
All
Platen, Eckhard 3 Baldeaux, Jan 2 Ignatieva, Katja 2 Ignatieva, Ekaterina 1
Institution
All
Finance Discipline Group, Business School 1
Published in...
All
Computational Statistics & Data Analysis 1 Research Paper Series / Finance Discipline Group, Business School 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
Source
All
RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
Cover Image
A Tractable Model for Indices Approximating the Growth Optimal Portfolio
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2012
The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numeraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance...
Persistent link: https://www.econbiz.de/10010617687
Saved in:
Cover Image
A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
Saved in:
Cover Image
Estimating the diffusion coefficient function for a diversified world stock index
Ignatieva, Katja; Platen, Eckhard - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1333-1349
diffusion coefficient function in the dynamics of the discounted WSI. A square root process turns out to be an excellent …
Persistent link: https://www.econbiz.de/10010574471
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...