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Search: subject:"Jump Diffusion"
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Subject
All
Stochastischer Prozess
282
Optionspreistheorie
279
Stochastic process
278
Option pricing theory
273
Volatilität
171
Volatility
170
Option trading
94
Optionsgeschäft
94
Jump diffusion
81
Portfolio selection
80
Portfolio-Management
80
Theorie
77
Theory
71
jump diffusion
67
CAPM
60
Markov chain
59
Markov-Kette
57
jump-diffusion
55
Jump-diffusion
52
Derivat
51
Derivative
51
Monte Carlo simulation
43
Jump-diffusion process
38
Monte-Carlo-Simulation
38
Option pricing
33
Börsenkurs
32
Share price
31
Risk
30
Stochastic volatility
30
Risiko
29
Black-Scholes model
27
Capital income
27
Kapitaleinkommen
27
Schätzung
27
jump-diffusion model
27
Black-Scholes-Modell
26
Estimation
26
Hedging
25
Schätztheorie
25
option pricing
25
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Online availability
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Undetermined
364
Free
214
CC license
8
Type of publication
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Article
530
Book / Working Paper
182
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Article in journal
335
Aufsatz in Zeitschrift
335
Working Paper
58
Graue Literatur
37
Non-commercial literature
37
Arbeitspapier
35
Article
16
Hochschulschrift
7
Thesis
6
Aufsatz im Buch
4
Book section
4
research-article
2
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1
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1
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1
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English
480
Undetermined
225
German
4
Spanish
2
Romanian
1
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Lleo, Sébastien
17
Davis, Mark H. A.
16
Chiarella, Carl
11
Ziogas, Andrew
9
Cai, Ning
7
Hainaut, Donatien
7
Lin, Shih-kuei
7
Platen, Eckhard
7
Söhl, Jakob
7
Mason, Charles F.
6
Rodrigues, Paulo Jorge Maurício
6
Seeger, Norman
6
Xiao, Tim
6
Belomestny, Denis
5
Jang, Jiwook
5
Jin, Xing
5
Kostrzewski, Maciej
5
Maneesoonthorn, Worapree
5
Martin, Gael M.
5
Nguyen, Duy
5
Siu, Tak Kuen
5
Stübinger, Johannes
5
Wilmot, Neil A.
5
Yang, Hailiang
5
Yun, Jaeho
5
Zou, Bin
5
Aboura, Sofiane
4
Björk, Tomas
4
Boss, Michael
4
Brigo, Damiano
4
Bruti-Liberati, Nicola
4
Cheang, Gerald H. L.
4
Creel, Michael D.
4
Dotsis, George
4
Fabozzi, Frank J.
4
Forbes, Catherine Scipione
4
Ignatieva, Ekaterina
4
Kahl, Christian
4
Kirkby, J. Lars
4
Klisz, Chris
4
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Finance Discipline Group, Business School
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
8
Society for Computational Economics - SCE
7
EconWPA
4
HAL
4
Henley Business School, University of Reading
3
Université Paris-Dauphine (Paris IX)
3
C.E.P.R. Discussion Papers
2
CESifo
2
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
2
Department of Economics and Business, Universitat Pompeu Fabra
2
Econometric Society
2
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
London School of Economics and Political Science
2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Swiss Finance Institute
2
University of Bonn, Germany
2
Wirtschaftswissenschaftliches Zentrum <Basel>
2
World Scientific Publishing Co. Pte. Ltd.
2
Agricultural and Applied Economics Association - AAEA
1
BANCO DE LA REPÚBLICA
1
Banca d'Italia
1
Banco de la Republica de Colombia
1
Bank for International Settlements (BIS)
1
Center for Economic Research <Minneapolis, Minn.>
1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Cowles Foundation for Research in Economics, Yale University
1
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Department of Economics, Adam Smith Business School
1
Department of Economics, Iowa State University
1
Department of Economics, University of Kansas
1
Department of Economics, University of Texas-Austin
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
European Association of Agricultural Economists - EAAE
1
European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
1
Finance Press
1
Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics
1
Graduate School of Economics, Kyoto University
1
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Published in...
All
International journal of theoretical and applied finance
26
International Journal of Theoretical and Applied Finance (IJTAF)
21
Insurance / Mathematics & economics
18
Quantitative finance
16
Risk-Sensitive Investment Management
15
Journal of banking & finance
14
Finance and Stochastics
12
European journal of operational research : EJOR
11
Finance research letters
11
Journal of mathematical finance
11
Computational economics
10
Energy economics
10
Journal of Banking & Finance
10
MPRA Paper
10
Applied Mathematical Finance
9
International journal of financial engineering
9
Journal of economic dynamics & control
9
Research Paper Series / Finance Discipline Group, Business School
8
SFB 649 Discussion Papers
8
Applied mathematical finance
7
Insurance: Mathematics and Economics
7
Quantitative Finance
7
Statistics & Probability Letters
7
The European journal of finance
7
Mathematics and financial economics
6
Review of Derivatives Research
6
Risks : open access journal
6
SFB 649 Discussion Paper
6
Computational Statistics
5
Energy Economics
5
Mathematical Methods of Operations Research
5
Operations research letters
5
Review of derivatives research
5
Scandinavian actuarial journal
5
Stochastic Processes and their Applications
5
The journal of computational finance
5
Annals of finance
4
Economic modelling
4
International review of economics & finance : IREF
4
Journal of econometrics
4
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Source
All
ECONIS (ZBW)
382
RePEc
272
EconStor
40
USB Cologne (business full texts)
10
BASE
5
Other ZBW resources
3
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101
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712
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101
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
102
"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael
-
2018
Persistent link: https://www.econbiz.de/10012153001
Saved in:
103
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
104
Consistent pricing of VIX options with the Hawkes
jump-diffusion
model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
Saved in:
105
Nonparametric estimation of
jump
diffusion
models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
106
A numerical approach to pricing exchange options under stochastic volatility and
jump-diffusion
dynamics
Garces, Len Patrick Dominic M.
;
Cheang, Gerald H. L.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Saved in:
107
Time-consistent mean-variance investment with unit linked life insurance contracts in a
jump-diffusion
setting
Bosserhoff, Frank
;
Stadje, Mitja
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 130-146
Persistent link: https://www.econbiz.de/10012622385
Saved in:
108
Fast pricing of energy derivatives with mean-reverting
jump-diffusion
processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
109
Analytic formulas for futures and options for a linear quadratic
jump
diffusion
model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian
;
Zou, Yihan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
Saved in:
110
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
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