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Search: subject:"Esscher transform"
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Subject
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Esscher transform
84
Option pricing theory
59
Optionspreistheorie
59
Stochastic process
47
Stochastischer Prozess
47
Markov chain
23
Markov-Kette
20
Option trading
18
Optionsgeschäft
18
Volatility
18
Volatilität
18
Option pricing
14
Derivat
10
Derivative
10
ARCH model
9
ARCH-Modell
9
Hedging
9
Lévy process
9
Theorie
8
Theory
8
Currency derivative
7
Währungsderivat
7
Black-Scholes model
6
Esscher Transform
6
Estimation theory
6
Risiko
6
Schätztheorie
6
Black-Scholes-Modell
5
Brownian motion
5
CAPM
5
Comonotonicity
5
Exchange rate
5
Portfolio selection
5
Portfolio-Management
5
Reflection principle
5
Risk
5
Risk measures
5
Statistical distribution
5
Statistische Verteilung
5
Wechselkurs
5
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Online availability
All
Undetermined
70
Free
22
CC license
2
Type of publication
All
Article
102
Book / Working Paper
16
Type of publication (narrower categories)
All
Article in journal
64
Aufsatz in Zeitschrift
64
Working Paper
8
Graue Literatur
6
Non-commercial literature
6
Arbeitspapier
5
Article
2
Hochschulschrift
1
technical-paper
1
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Language
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English
77
Undetermined
40
French
1
Author
All
Siu, Tak Kuen
15
Lee, Hangsuck
12
Elliott, Robert J.
10
Lian, Yu-Min
7
Chen, Jun-Home
6
Fard, Farzad Alavi
6
Chan, Leunglung
5
Liao, Szu-Lang
5
Song, Seongjoo
5
Elliott, Robert
4
Goovaerts, Marc J.
4
Ko, Bangwon
4
Lee, Gaeun
4
Lee, Minha
4
Odening, Martin
4
Ritter, Matthias
4
Tang, Qihe
4
Badescu, Alex
3
Chan, Wai-Sum
3
Doko Tchatoka, Firmin
3
Fengler, Matthias
3
Kaas, Rob
3
Kim, Young
3
Laeven, Roger J.A.
3
Li, Chang-Yi
3
Lin, Shih-kuei
3
López Cabrera, Brenda
3
Shen, Yang
3
Siu, Tak
3
Sriananthakumar, Sivagowry
3
Badescu, Alexandru
2
Chen, Son-nan
2
Chiang, Mi-Hsiu
2
ELLIOTT, ROBERT J.
2
Ha, Hongjun
2
Herwartz, Helmut
2
Kulperger, Reg
2
Küchler, Uwe
2
Lee, Jeong
2
Li, Johnny Siu-Hang
2
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Institution
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Banque de France
1
Institute of Economic Research, Kyoto University
1
School of Economics and Political Science, Universität St. Gallen
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Tinbergen Institute
1
Tinbergen Instituut
1
World Scientific Publishing Co. Pte. Ltd.
1
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Published in...
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Insurance
9
The North American journal of economics and finance : a journal of financial economics studies
9
International Journal of Theoretical and Applied Finance (IJTAF)
5
International journal of theoretical and applied finance
5
Annals of Finance
3
Asia-Pacific Financial Markets
3
Finance and Stochastics
3
Finance research letters
3
Insurance: Mathematics and Economics
3
Journal of Banking & Finance
3
Applied mathematical finance
2
Asia-Pacific financial markets
2
International review of economics & finance : IREF
2
Journal of Risk and Financial Management
2
Journal of mathematical finance
2
Journal of risk and financial management : JRFM
2
Managerial Finance
2
Quantitative finance
2
Review of derivatives research
2
Revista Brasileira de Finanças : RBFin
2
The European journal of finance
2
The journal of futures markets
2
Tinbergen Institute Discussion Papers
2
Annals of actuarial science
1
Annals of finance
1
Applied Mathematical Finance
1
Applied financial economics
1
Asia Pacific financial markets
1
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
1
Computational Statistics
1
Computational economics
1
Decisions in Economics and Finance
1
Dependence Modeling
1
Discussion paper / The Pensions Institute, Cass Business School, City University
1
Discussion paper / Tinbergen Institute
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
European journal of operational research : EJOR
1
Finance Research Letters
1
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Source
All
ECONIS (ZBW)
70
RePEc
41
EconStor
5
BASE
1
Other ZBW resources
1
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61
Exponential stock models driven by tempered stable processes
Küchler, Uwe
;
Tappe, Stefan
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 53-63
Persistent link: https://www.econbiz.de/10010473381
Saved in:
62
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Hoang, Winsor
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
Saved in:
63
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
Fard, Farzad Alavi
;
Rong, Ning
- In:
Annals of finance
10
(
2014
)
2
,
pp. 315-332
Persistent link: https://www.econbiz.de/10010350833
Saved in:
64
Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying
;
Wang, Xingchun
;
Wang, Yongjin
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
Saved in:
65
Option pricing in a conditional Bilateral Gamma model
Bellini, Fabio
;
Mercuri, Lorenzo
- In:
Central European journal of operations research : CEJOR …
22
(
2014
)
2
,
pp. 373-390
Persistent link: https://www.econbiz.de/10010356905
Saved in:
66
Calibrating the smile with multivariate time-changed Brownian motion and the
Esscher
transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
67
Optimality of payoffs in Lévy models
Hammerstein, Ernst August v.
;
Lütkebohmert, Eva
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-46
Persistent link: https://www.econbiz.de/10010438495
Saved in:
68
Pricing gold options under Markov-modulated jump-diffusion processes
Lin, Shih-kuei
;
Lian, Yu-Min
;
Liao, Szu-Lang
- In:
Applied financial economics
24
(
2014
)
10/12
,
pp. 825-836
Persistent link: https://www.econbiz.de/10010402550
Saved in:
69
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
70
Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
Saved in:
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