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Search: subject:"Gamma Process"
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Gamma process
25
Stochastic process
20
Stochastischer Prozess
20
Theorie
17
Theory
16
Option pricing theory
15
Optionspreistheorie
15
gamma process
12
Instandhaltung
11
Maintenance policy
11
Statistical distribution
10
Statistische Verteilung
10
Volatility
10
Volatilität
10
Variance Gamma process
7
Lévy process
6
condition-based maintenance
6
non-stationary gamma process
6
variance gamma process
6
Condition-based maintenance
5
variance-gamma process
5
Bayes-Statistik
4
Bayesian inference
4
Business process management
4
Completely random measures
4
Probability theory
4
Prozessmanagement
4
Wahrscheinlichkeitsrechnung
4
degradation modelling
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imperfect maintenance
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life-cycle management
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option pricing
4
renewal-type dynamic programming equation
4
Asymptotics
3
Bayesian Nonparametrics
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Brownian motion
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32
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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
Aguilar, Jean-Philippe
3
Dekker, R.
3
Dekker, Rommert
3
Favaro, Stefano
3
Karageyik, Başak Bulut
3
Prunster, Igor
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
Madan, Dilip B.
2
Mazur, Stepan
2
Podgórski, Krzysztof
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
Barreto-Souza, Wagner
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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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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
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
Statistics & Probability Letters
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of Finance
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Annals of finance
1
Annals of financial economics
1
Applied Mathematical Finance
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
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Czech Journal of Economics and Finance (Finance a uver)
1
ECARES working paper
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EconoQuantum : Revista de Economía y Negocios
1
Economic Modelling
1
Economic modelling
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European Journal of Operational Research
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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 / Mathematics & economics
1
International journal of financial engineering
1
International journal of forecasting
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ECONIS (ZBW)
43
RePEc
41
EconStor
5
BASE
4
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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:
5
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
72
(
2021
)
2
,
pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
Saved in:
6
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
Saved in:
7
A semiparametric Bayesian model for queueing arrival processes : an application to call centers
Kuzu, Kaan
;
Soyer, Refik
;
Tarimcilar, Murat T.
- In:
Production and operations management : the flagship …
32
(
2023
)
10
,
pp. 3266-3285
Persistent link: https://www.econbiz.de/10014430727
Saved in:
8
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
Saved in:
9
Age-replacement policy for items described by stochastic degradation with dependent increments
Cha, Ji Hwan
;
Finkelstein, Maxim
;
Levitin, Gregory
- In:
IMA journal of management mathematics
33
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10012798781
Saved in:
10
Condition-based maintenance for a system subject to multiple degradation processes with stochastic arrival intensity
Bautista, Lucía
;
Castro, Inma T.
;
Landesa, Luis
- In:
European journal of operational research : EJOR
302
(
2022
)
2
,
pp. 560-574
Persistent link: https://www.econbiz.de/10013270123
Saved in:
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