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  • Search: subject:"Gamma Process"
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Year of publication
Subject
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Stochastic process 27 Stochastischer Prozess 27 Gamma process 25 Theorie 21 Theory 20 Option pricing theory 19 Optionspreistheorie 19 Instandhaltung 12 Maintenance policy 12 gamma process 12 Volatility 11 Volatilität 11 variance gamma process 9 Statistical distribution 8 Statistische Verteilung 8 Lévy process 7 Variance Gamma process 7 Markov chain 6 Markov-Kette 6 condition-based maintenance 6 non-stationary gamma process 6 Condition-based maintenance 5 Probability theory 5 Risiko 5 Risk 5 Wahrscheinlichkeitsrechnung 5 variance-gamma process 5 Bayes-Statistik 4 Bayesian inference 4 Completely random measures 4 Estimation theory 4 Schätztheorie 4 Variance gamma process 4 degradation modelling 4 imperfect maintenance 4 life-cycle management 4 option pricing 4 renewal-type dynamic programming equation 4 Asymptotics 3 Bayesian Nonparametrics 3
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Online availability
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Undetermined 55 Free 34 CC license 2
Type of publication
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Article 74 Book / Working Paper 24 Other 1
Type of publication (narrower categories)
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Article in journal 45 Aufsatz in Zeitschrift 45 Working Paper 5 Arbeitspapier 2 Article 2 Graue Literatur 2 Non-commercial literature 2 Aufsatz im Buch 1 Book section 1 Congress Report 1
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Language
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English 60 Undetermined 38 Spanish 1
Author
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Nicolai, R.P. 10 Ivanov, Roman V. 5 Frenk, Frenk, J.B.G. 4 Frenk, J.B.G. 4 Lijoi, Antonio 4 Madan, Dilip B. 4 Aguilar, Jean-Philippe 3 Dekker, R. 3 Dekker, Rommert 3 Favaro, Stefano 3 Karageyik, Başak Bulut 3 Wang, King 3 Barros, Anne 2 Berenguer, Christophe 2 Castro, I. T. 2 Castro, Inma 2 Castro, Inma T. 2 Cha, Ji Hwan 2 Gutiérrez, Oscar 2 Heidergott, Bernd 2 Huynh, Khac Tuan 2 Kawai, Reiichiro 2 Kozubowski, Tomasz J. 2 Ma, Lin 2 Mazur, Stepan 2 Podgórski, Krzysztof 2 Prunster, Igor 2 Pulcini, Gianpaolo 2 Volk-Makarewicz, Warren 2 Wang, Jingjing 2 Wang, Yiqi 2 Xu, Weidong 2 Zhang, Dewei 2 Şahin, Şule 2 Ahmadi, Reza 1 Ahmadi, Seyed Saeed 1 Ano, Katsunori 1 Arata, Yoshiyuki 1 BAXTER, MARTIN 1 Ballota, Laura 1
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Institution
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Erasmus University Rotterdam, Econometric Institute 3 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 2 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 2 HAL 2 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 International Centre for Economic Research (ICER) 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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European journal of operational research : EJOR 8 Econometric Institute Report 3 Econometric Institute Research Papers 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 International journal of theoretical and applied finance 3 Annals of the Institute of Statistical Mathematics 2 Applied mathematical finance 2 ERIM Report Series Research in Management 2 IMA journal of management mathematics 2 International journal of production research 2 Management Science 2 Post-Print / HAL 2 Quaderni di Dipartimento 2 Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 2 Risks : open access journal 2 Statistics & Probability Letters 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of Finance 1 Annals of actuarial science 1 Annals of finance 1 Annals of financial economics 1 Applied Mathematical Finance 1 Asia-Pacific Journal of Operational Research (APJOR) 1 Asia-Pacific financial markets 1 Carlo Alberto Notebooks 1 Computational Economics 1 Computational economics 1 Czech Journal of Economics and Finance (Finance a uver) 1 Decisions in economics and finance : a journal of applied mathematics 1 ECARES working paper 1 EconoQuantum : Revista de Economía y Negocios 1 Economic Modelling 1 Economic modelling 1 European Journal of Operational Research 1 Finance and Stochastics 1 Finance and stochastics 1 Frontiers in Finance and Economics 1 ICER Working Papers - Applied Mathematics Series 1 IEEE transactions on engineering management : EM 1 Insurance 1
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Source
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ECONIS (ZBW) 49 RePEc 41 EconStor 5 BASE 4
Showing 1 - 10 of 99
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Stochastic modeling of wind derivatives with application to the Alberta energy market
Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26
Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of...
Persistent link: https://www.econbiz.de/10014497409
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Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230
Persistent link: https://www.econbiz.de/10015051244
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Pricing vulnerable options with variance gamma systematic and idiosyncratic factors by Laplace transform inversion
Guo, Fenglong - In: The journal of futures markets 45 (2025) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10015376388
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Optimal spot slides
Madan, Dilip B.; Shirai, Yoshihiro; Wang, King - In: International journal of theoretical and applied … 28 (2025) 1/2, pp. 1-30
Persistent link: https://www.econbiz.de/10015559869
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Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed
Le Courtois, Olivier; Shen, Li - In: Decisions in economics and finance : a journal of … 48 (2025) 2, pp. 1259-1299
Persistent link: https://www.econbiz.de/10015593656
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …
Persistent link: https://www.econbiz.de/10013201326
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Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
symmetrization, leads to a new matrix-variate gamma process. This process when taken at a properly defined one-dimensional argument …
Persistent link: https://www.econbiz.de/10014331150
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …
Persistent link: https://www.econbiz.de/10012813564
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Cover Image
Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
symmetrization, leads to a new matrix-variate gamma process. This process when taken at a properly defined one-dimensional argument …
Persistent link: https://www.econbiz.de/10013469607
Saved in:
Cover Image
Option returns
Madan, Dilip B.; Schoutens, Wim; Wang, King - In: Peter Carr Gedenkschrift : research advances in …, (pp. 537-568). 2024
Persistent link: https://www.econbiz.de/10015447073
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