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  • Search: subject:"Fourier transform methods"
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Year of publication
Subject
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Fourier transform methods 6 Stochastic process 6 Stochastischer Prozess 6 Option pricing theory 5 Optionspreistheorie 5 Estimation theory 4 Schätztheorie 4 Portfolio selection 3 Portfolio-Management 3 Risikomanagement 3 Risikomaß 3 Risk management 3 Risk measure 3 Volatility 3 Volatilität 3 Continuous time stochastic control 2 Credit risk 2 Forward Starting options 2 Fourier-transform methods 2 Frequency domain 2 Kreditrisiko 2 Markov chain 2 Markov-Kette 2 Option trading 2 Optionsgeschäft 2 Regime switching jump-diffusion models 2 Spectral factorization 2 Time series analysis 2 Zeitreihenanalyse 2 conditional independent dependence modelling 2 factor models 2 intensity-based models 2 numerical methods 2 option pricing 2 saddlepoint-methods 2 stochastic volatility models 2 (Tensorized) Chebyshev polynomials 1 Aktionäre 1 American options 1 Börsenkurs 1
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Online availability
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Undetermined 5 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 6 Aufsatz in Zeitschrift 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 8 Undetermined 1
Author
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Herbertsson, Alexander 2 Ramponi, Alessandro 2 Taub, Bart 2 Cheang, Gerald H. L. 1 Garces, Len Patrick Dominic M. 1 Gaß, Maximilian 1 Glau, Kathrin 1 Mahlstedt, Mirco 1 Mair, Maximilian 1 RAMPONI, ALESSANDRO 1
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Published in...
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Working papers in economics 2 Annals of finance 1 Economic theory bulletin 1 Finance and stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of mathematical finance 1 Quantitative finance 1
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Source
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ECONIS (ZBW) 8 RePEc 1
Showing 1 - 9 of 9
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander - 2022
Persistent link: https://www.econbiz.de/10013369349
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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
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Economic and financial modeling techniques in the frequency domain
Taub, Bart - In: Economic theory bulletin 7 (2019) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012108598
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Inconspicuousness and obfuscation : how large shareholders dynamically manipulate output and information for trading purposes
Taub, Bart - In: Annals of finance 14 (2018) 4, pp. 429-464
Persistent link: https://www.econbiz.de/10012268311
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Chebyshev interpolation for parametric option pricing
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; … - In: Finance and stochastics 22 (2018) 3, pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
RAMPONI, ALESSANDRO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250037-1
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in...
Persistent link: https://www.econbiz.de/10010562369
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Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
Ramponi, Alessandro - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10009672605
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