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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
All
RePEc 173 ECONIS (ZBW) 58 EconStor 14 BASE 4
Showing 21 - 30 of 249
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Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo; Cufaro Petroni, Nicola - In: Applied mathematical finance 28 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
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Why does a human die? : a structural approach to cohort-wise mortality prediction under survival energy hypothesis
Shimizu, Yasutaka; Minami, Yuki; Ito, Ryunosuke - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 191-219
Persistent link: https://www.econbiz.de/10012437278
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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Does online access promote research in developing countries?
Müller-Langer, Frank; Scheufen, Marc; Waelbroeck, Patrick - 2017
Universities in developing countries have rarely been able to subscribe to academic journals in the past. The "Online Access to Research in the Environment" initiative (OARE) provides institutions in developing countries with free online access to more than 5,700 environmental science journals....
Persistent link: https://www.econbiz.de/10011662690
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Uniform integrability of a single jump local martingale with state-dependent characteristics
Schatz, Michael; Sornette, Didier - 2017
We investigate a deterministic criterion to determine whether a diffusive local martingale with a single jump and state-dependent characteristics is a uniformly integrable martingale. We allow the diffusion coefficient, the jump hazard rate and the relative jump size to depend on the state and...
Persistent link: https://www.econbiz.de/10011762245
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Cover Image
Does online access promote research in developing countries?
Müller-Langer, Frank; Scheufen, Marc; Waelbroeck, Patrick - 2017
Universities in developing countries have rarely been able to subscribe to academic journals in the past. The "Online Access to Research in the Environment" initiative (OARE) provides institutions in developing countries with free online access to more than 5,700 environmental science journals....
Persistent link: https://www.econbiz.de/10011595893
Saved in:
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The New Key Drivers to Improve the Open Government Performances: Some Empirical Evidences from Italy
Pollifroni, Massimo; Militaru, Gheorghe; Ioana, Adrian - In: Journal of Accounting and Management Information … 15 (2016) 1, pp. 72-89
Aim and scope of the paper is to demonstrate how an effective and efficient management applied to the Public Sector can improve the administrative transparency, an evidence – this last – now increasingly seen in the practices carried out by Public Administrations on their own websites. In...
Persistent link: https://www.econbiz.de/10015195938
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The new key drivers to improve the Open Government performances : some empirical evidences from Italy
Pollifroni, Massimo; Militaru, Gheorghe; Ioana, Adrian - In: Journal of accounting & management information systems … 15 (2016) 1, pp. 72-89
Aim and scope of the paper is to demonstrate how an effective and efficient management applied to the Public Sector can improve the administrative transparency, an evidence – this last – now increasingly seen in the practices carried out by Public Administrations on their own websites. In...
Persistent link: https://www.econbiz.de/10011516642
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A stochastic model for cytotoxis T. lymphocyte interaction with tumors nodules
Cattiaux, Patrick; Christophe, Claire; Gadat, Sébastien - 2016
Persistent link: https://www.econbiz.de/10012220182
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