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  • Search: subject:"Fourier methods"
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Year of publication
Subject
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Fourier methods 8 Stochastic process 4 Stochastischer Prozess 4 Estimation theory 3 Lévy process 3 Option pricing theory 3 Optionspreistheorie 3 Schätztheorie 3 Volatility 3 Volatilität 3 Local stochastic volatility 2 analytical approximation 2 characteristic function 2 partial integro-differential equation 2 COS method 1 Characteristic functions 1 Control theory 1 Correlation 1 Econometrics 1 Electronic trading 1 Elektronisches Handelssystem 1 Estimation 1 Fast Fourier methods 1 Fourier expansion 1 Heavy-tailed distributions 1 High-frequency 1 Kontrolltheorie 1 Korrelation 1 Market microstructure 1 Marktmikrostruktur 1 Mathematical programming 1 Mathematische Optimierung 1 Microstructure noise 1 Nichtparametrisches Verfahren 1 Noise Trading 1 Noise trading 1 Nonparametric statistics 1 Option pricing 1 Option trading 1 Optionsgeschäft 1
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Online availability
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Undetermined 6 Free 2
Type of publication
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Article 7 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 6 Undetermined 3
Author
All
Pascucci, Andrea 2 Ayache, Antoine 1 Baschetti, Fabio 1 Bayer, Christian 1 Belomestny, Denis 1 Ben Hammouda, Chiheb 1 Bormetti, Giacomo 1 Candia, Riga 1 Cybakov, Aleksandr B. 1 Forsyth, Peter 1 Jacod, Jean 1 Labahn, George 1 PAGLIARANI, STEFANO 1 PASCUCCI, ANDREA 1 Pagliarani, Stefano 1 Papapantoleon, Antonis 1 Romagnoli, Silvia 1 Rossi, Pietro 1 Samet, Michael 1 Stefano, Pagliarani 1 Tempone, Raul 1 Trabs, Mathias 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Decisions in economics and finance : DEF ; a journal of applied mathematics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 MPRA Paper 1 Quantitative finance 1 Statistics & Probability Letters 1 Série des documents de travail 1 The journal of computational finance 1 The journal of computational finance : JFC 1
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Source
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ECONIS (ZBW) 6 RePEc 3
Showing 1 - 9 of 9
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Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian; Ben Hammouda, Chiheb; Papapantoleon, … - In: The journal of computational finance : JFC 27 (2023) 3, pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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Sparse covariance matrix estimation in high-dimensional deconvolution
Belomestny, Denis; Trabs, Mathias; Cybakov, Aleksandr B. - 2017
Persistent link: https://www.econbiz.de/10012198572
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E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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Local stochastic volatility with jumps : analytical approximations
Pagliarani, Stefano; Pascucci, Andrea - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10010243616
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Expansion formulae for local Lévy models
Stefano, Pagliarani; Pascucci, Andrea; Candia, Riga - Volkswirtschaftliche Fakultät, … - 2011
standard Fourier methods, such an expansion allows to obtain efficient and accurate pricing formulae. Numerical tests confirm …
Persistent link: https://www.econbiz.de/10009367966
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LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
PAGLIARANI, STEFANO; PASCUCCI, ANDREA - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350050-1
Fourier methods, our result provides efficient and accurate formulas for the prices and the Greeks of plain vanilla options …
Persistent link: https://www.econbiz.de/10011011288
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Sharp estimates on the tail behavior of a multistable distribution
Ayache, Antoine - In: Statistics & Probability Letters 83 (2013) 3, pp. 680-688
Multistable stochastic integrals on R, have been introduced quite recently in Falconer and Liu (2012); they are defined through their characteristic functions. Roughly speaking, in a neighborhood of an arbitrary point x∈R, such an integral can be viewed as a usual stable stochastic integral,...
Persistent link: https://www.econbiz.de/10011039948
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