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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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Undetermined
364
Free
214
CC license
8
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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
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4
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4
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2
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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
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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
Showing
121
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130
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712
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121
Pricing exotic option under
jump-diffusion
models by the quadrature method
Zhang, Jin-Yu
;
Wu, Wen-Bo
;
Li, Yong
;
Lou, Zhu-Sheng
- In:
Computational economics
58
(
2021
)
3
,
pp. 867-884
Persistent link: https://www.econbiz.de/10012651045
Saved in:
122
An ergodic BSDE risk representation in a
jump-diffusion
framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
123
Cojump risks and their impacts on option pricing
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
The quarterly review of economics and finance : journal …
79
(
2021
),
pp. 399-410
Persistent link: https://www.econbiz.de/10012655076
Saved in:
124
Optimal control of investment, premium and deductible for a non-life insurance company
Christensen, Bent Jesper
;
Parra-Alvarez, Juan Carlos
; …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 384-405
Persistent link: https://www.econbiz.de/10012793933
Saved in:
125
Gaussian clustering and
jump-diffusion
models of electricity prices : a deep learning analysis
Mari, Carlo
;
Mari, Emiliano
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
2
,
pp. 1039-1062
Persistent link: https://www.econbiz.de/10012795108
Saved in:
126
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
127
Modeling energy prices under energy transition : a novel stochastic-copula approach
Correia Fernandes, Mário
;
Dias, José Carlos
;
Nunes, …
- In:
Economic modelling
105
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013367312
Saved in:
128
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black-Scholes model to that of calibrated
jump-diffusion
model. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011988759
Saved in:
129
Pairs trading with a mean-reverting
jump-diffusion
model on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model and applies it to minute …
Persistent link: https://www.econbiz.de/10011644776
Saved in:
130
Essays in asset pricing
Orlowski, Piotr
-
2017
Persistent link: https://www.econbiz.de/10011931494
Saved in:
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