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  • Search: subject:"Feller semigroups"
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Subject
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Affine processes 1 Correlation 1 Energiemarkt 1 Energy market 1 Ergodicity 1 Estimation theory 1 Feller semigroups 1 Feynman-Kac formula 1 Generalised Feller semigroups 1 Implied forward volatility 1 Invariant measure 1 Korrelation 1 Markov chain 1 Markov-Kette 1 Option pricing theory 1 Optionspreistheorie 1 Schätztheorie 1 Stationarity 1 Stochastic covariance 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Yield curve 1 Zeitreihenanalyse 1 Zinsstruktur 1 energy markets 1
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Free 2 CC license 1
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Article 2
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Article in journal 2 Aufsatz in Zeitschrift 2
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English 2
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Bufalo, Michele 1 Fanelli, Viviana 1 Friesen, Martin 1 Karbach, Sven 1
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Finance and stochastics 1 Risks : open access journal 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Advanced operator theory for energy market trading : a new framework
Bufalo, Michele; Fanelli, Viviana - In: Risks : open access journal 13 (2025) 7, pp. 1-21
This paper analyzes a parabolic operator ℒ that generalizes several well-known operators commonly used in financial mathematics. We establish the existence and uniqueness of the Feller semigroup associated with ℒ and derive its explicit analytical representation. The theoretical framework...
Persistent link: https://www.econbiz.de/10015437061
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
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