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  • Search: subject:"Excursion"
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Year of publication
Subject
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Brownian excursion area 3 Poisson point process 3 Stochastic process 3 Stochastischer Prozess 3 capital injection 3 excursion theory 3 high-frequency data 3 integrated volatility 3 limit order book 3 Feynman-Kac 2 Laplace transform 2 Lévy processes 2 Option pricing theory 2 Optionspreistheorie 2 Parisian ruin 2 Portfolio selection 2 Portfolio-Management 2 Risiko 2 Risk 2 Spectrally negative Lévy process 2 dividends 2 fluctuation theory 2 four states Semi-Markov model 2 scale functions 2 60J35 1 Brownian excursion 1 Börsenkurs 1 Capacity functional 1 Crossings 1 Dividend 1 Dividende 1 Electronic trading 1 Elektronisches Handelssystem 1 Estimation theory 1 Excursion set 1 Excursion theory 1 Excursion time 1 Feynman{Kac 1 Gaussian field 1 Growing circle method 1
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Online availability
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Free 11
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 6 Undetermined 5
Author
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Bibinger, Markus 3 Dassios, Angelos 3 Jirak, Moritz 3 Pérez, José-Luis 2 Reiss, Markus 2 Wu, Shanle 2 Yamazaki, Kazutoshi 2 Zhou, Xiaowen 2 Budhi Arta Surya 1 Kratz, Marie 1 Li, Bo 1 Lim, Jia Wei 1 Nagel, Werner 1 Reiß, Markus 1 Wang, Wenyuan 1 Zhao, Xianghua 1
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Institution
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London School of Economics (LSE) 3 ESSEC Business School 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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LSE Research Online Documents on Economics 3 ESSEC Working Papers 1 Insurance : mathematics and economics 1 Risks 1 Risks : open access journal 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 Scandinavian actuarial journal 1
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Source
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RePEc 5 ECONIS (ZBW) 4 EconStor 2
Showing 1 - 10 of 11
Did you mean: subject:"exclusion" (3,021 results)
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An excursion theoretic approach to Parisian ruin problem
Li, Bo; Zhou, Xiaowen - In: Insurance : mathematics and economics 118 (2024), pp. 44-58
Persistent link: https://www.econbiz.de/10015066997
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Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Arta Surya; Wang, Wenyuan; Zhao, Xianghua; Zhou, … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 97-122
Persistent link: https://www.econbiz.de/10014325014
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Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis; Yamazaki, Kazutoshi - In: Risks 6 (2018) 2, pp. 1-39
with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation …
Persistent link: https://www.econbiz.de/10011996591
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Cover Image
Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis; Yamazaki, Kazutoshi - In: Risks : open access journal 6 (2018) 2, pp. 1-39
with additional classical reflection above and/or below. Using scale functions and excursion theory, various fluctuation …
Persistent link: https://www.econbiz.de/10011866334
Saved in:
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Improved volatility estimation based on limit order books
Bibinger, Markus; Jirak, Moritz; Reiss, Markus - 2014
, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of …
Persistent link: https://www.econbiz.de/10010427062
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On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²
Kratz, Marie; Nagel, Werner - ESSEC Business School - 2014
When a random field (Xt; t 2 R2) is thresholded on a given level u, the excursion set is given by its indicator 1[u;1 …)(Xt). The purpose of this work is to study functionals (as established in stochastic geometry) of these random excursion …
Persistent link: https://www.econbiz.de/10011096298
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IMPROVED VOLATILITY ESTIMATION BASED ON LIMIT ORDER BOOKS
Bibinger, Markus; Jirak, Moritz; Reiss, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
framework, which reveals an interesting connection to the theory of Brownian excursion ar- eas. A major application is the …
Persistent link: https://www.econbiz.de/10010929780
Saved in:
Cover Image
Improved volatility estimation based on limit order books
Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014
, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of …
Persistent link: https://www.econbiz.de/10010412417
Saved in:
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Parisian option pricing: a recursive solution for the density of the Parisian stopping time
Dassios, Angelos; Lim, Jia Wei - London School of Economics (LSE) - 2013
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time. The problem reduces to that of solving a Volterra integral equation of the first kind, where a recursive solution is consequently obtained. The advantage of this new method as compared to that...
Persistent link: https://www.econbiz.de/10011125907
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Brownian excursions outside a corridor and two-sided Parisian options
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2011
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states …
Persistent link: https://www.econbiz.de/10010884699
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