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  • Search: subject:"Diffusion processes"
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Year of publication
Subject
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diffusion processes 63 Diffusion processes 44 Stochastischer Prozess 38 Stochastic process 37 Diffusion Processes 32 Technological Change: Choices and Consequences 22 Option pricing theory 20 Optionspreistheorie 20 Theorie 17 Asset and Liability Management 16 Benchmarked Asset Management 16 Classical Solutions 16 Dynamic Investment Management 16 Hamilton–Jacobi–Bellman Equations 16 Innovationsdiffusion 16 Jump Diffusion Processes 16 Kelly Criterion 16 Lévy Processes 16 Risk Sensitive Control 16 Stochastic Control 16 Viscosity Solutions 16 Innovation diffusion 15 Jump-diffusion processes 15 Volatility 14 Volatilität 14 jump-diffusion processes 14 Theory 13 stochastic volatility 10 Schätztheorie 9 equation 9 Derivat 8 Derivative 8 Economic models 8 Estimation theory 8 Jump diffusion processes 8 Option trading 8 Optionsgeschäft 8 correlation 8 equations 8 time series 8
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Online availability
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Undetermined 107 Free 104 CC license 1
Type of publication
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Article 138 Book / Working Paper 111
Type of publication (narrower categories)
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Article in journal 46 Aufsatz in Zeitschrift 46 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 95 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 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 Bhardwaj, Geetesh 2 Cheang, Gerald H. L. 2 Christensen, Sören 2 Crespi G.A. 2 Cufaro Petroni, Nicola 2 Dai, Hongshuai 2 De Gregorio, Alessandro 2 Diallo, Amadou Sekou 2 Droste-Franke, Bert 2 Fabrizio, Kira R. 2 Fazekas, Károly 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...
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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 4 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) 58 EconStor 14 BASE 4
Showing 111 - 120 of 249
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Quasi-likelihood analysis for nonsynchronously observed diffusion processes
Ogihara, Teppei; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 2954-3008
We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we prove that the quasi-maximum likelihood estimator and the Bayes type estimator are consistent and asymptotically mixed...
Persistent link: https://www.econbiz.de/10010785363
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Mapping regional social enterprise ecosystems in India: Framework and indicators
Sonne L. - United Nations University-Maastricht Economic Research … - 2014
In this paper we briefly review social enterprise in the context of India before developing a conceptual framework highlighting the different components that make up a regional social enterprise ecosystem including entrepreneurs, financial and non-financial support, education and research,...
Persistent link: https://www.econbiz.de/10010856420
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The structure and comparative advantages of China's scientific research: Quantitative and qualitative perspectives
Wang L. - United Nations University-Maastricht Economic Research … - 2014
In recent decades there has been a sharp increase in Chinas scientific output. Behind its fast growth, little is known about Chinas comparative advantages in different academic disciplines. Meanwhile, despite Chinas rising position now in second place worldwide for research output, its research...
Persistent link: https://www.econbiz.de/10010856464
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Determinantal martingales and noncolliding diffusion processes
Katori, Makoto - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3724-3768
Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are …
Persistent link: https://www.econbiz.de/10010907050
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Discovering the dynamics of smart business networks
Pau, L.-F. - In: Computational Management Science 11 (2014) 4, pp. 445-458
This paper describes a simple diffusion process whereby to discover the dynamics of emergent smart business network structures and their performance in view of business collaboration patterns over time. They include the destabilizing effects of business relationship tie-up’s or break-downs,...
Persistent link: https://www.econbiz.de/10010949673
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Generalized diffusion equation and analytical expressions to neutron scattering experiments
Fa, Kwok Sau - In: Physica A: Statistical Mechanics and its Applications 415 (2014) C, pp. 366-374
An integro-differential diffusion equation with linear force, based on the continuous time random walk model, is considered. The equation generalizes the ordinary and fractional diffusion equations. Analytical expressions related to neutron scattering experiments are presented and analyzed,...
Persistent link: https://www.econbiz.de/10010939951
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Innovation and productivity in services: Empirical evidence from Latin America
Crespi G.A.; Tacsir E.; Vargas F. - United Nations University-Maastricht Economic Research … - 2014
This paper analyses and compares the determinants of innovation in the service industry and its impact on labour productivity at the firm level in three countries of Latin America Chile, Colombia, and Uruguay. The main findings show that, similar to what is observed in the manufacturing...
Persistent link: https://www.econbiz.de/10011004597
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Weak convergence of Markov-modulated diffusion processes with rapid switching
Huang, Gang; Mandjes, Michel; Spreij, Peter - In: Statistics & Probability Letters 86 (2014) C, pp. 74-79
In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating …
Persistent link: https://www.econbiz.de/10010743563
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Diffusion approximations for G/M/n + GI queues with state-dependent service rates
Weerasinghe, Ananda - In: Mathematics of operations research 39 (2014) 1, pp. 207-228
Persistent link: https://www.econbiz.de/10010345214
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Discovering the dynamics of smart business networks
Pau, Louis-François - In: Computational Management Science : CMS 11 (2014) 4, pp. 445-458
Persistent link: https://www.econbiz.de/10010437143
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