Search Results - subject:"Diffusion process"

Within-brand and cross-brand word-of-mouth for sequential multi-innovation diffusions

Guseo, Renato; Mortarino, Cinzia - In: IMA journal of management mathematics 25 (2014) 3, pp. 287-311

Persistent link: https://www.econbiz.de/10010387733

An interactive approach to determine optimal launch time of successive generational product

Anand, Adarsh; Ompal Singh; Aggrawal, Deepti; Singh, … - In: International journal of technology marketing : IJTMkt 9 (2014) 4, pp. 392-407

Persistent link: https://www.econbiz.de/10010490445

The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift

Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84

Persistent link: https://www.econbiz.de/10010505392

Optimal asset-liability management for an insurer under markov regime switching jump-diffusion market

Yu, Jun - In: Asia-Pacific financial markets 21 (2014) 4, pp. 317-330

Persistent link: https://www.econbiz.de/10010511568

A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010504752

Optimal investment and risk control policies for an insurer : expected utility maximization

Zou, Bin; Cadenillas, Abel - In: Insurance / Mathematics & economics 58 (2014), pp. 57-67

Persistent link: https://www.econbiz.de/10010437631

The valuation of catastrophe bonds with exposure to currency exchange risk

Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International review of financial analysis 33 (2014), pp. 243-252

Persistent link: https://www.econbiz.de/10010520456

Tractable multi-firm default models based on discontinuous processes

Scherer, Matthias - 2007

distribution of the running minimum of a jump-diffusion process is not known. We show that an efficient implementation of jump …

Persistent link: https://www.econbiz.de/10009462191

Least squares volatility change point estimation for partially observed diffusion processes

Gregorio, Alessandro De; Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2007

A one dimensional diffusion process X={X_t, 0 <= t <= T}, with drift b(x) and diffusion coefficient s(theta, x … an high frequency scheme. We also study the case of a diffusion process with unknown drift and unknown volatility but …

Persistent link: https://www.econbiz.de/10009324454

Extracting Information from the Market to Price the Weather Derivatives

Hamisultane, Hélène - HAL - 2007

Weather derivatives were first launched in 1996 in the United-States to allow companies to protect themselves against weather fluctuations. Even now their valuation still remains tricky. Because their underlying is not a traded asset, the weather options cannot be priced by using the Black and...

Persistent link: https://www.econbiz.de/10008793612

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