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  • Search: subject:"Jump Diffusion"
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Year of publication
Subject
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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
Type of publication (narrower categories)
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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 Collection of articles of several authors 1 Conference paper 1 Konferenzbeitrag 1 Sammelwerk 1
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Language
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English 480 Undetermined 225 German 4 Spanish 2 Romanian 1
Author
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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...
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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
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ECONIS (ZBW) 382 RePEc 272 EconStor 40 USB Cologne (business full texts) 10 BASE 5 Other ZBW resources 3
Showing 61 - 70 of 712
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Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model
Liu, Yanyun; Sun, Baiqing - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 377-410
Persistent link: https://www.econbiz.de/10014514935
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Shot-noise cojumps : exact simulation and option pricing
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 52 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020
Persistent link: https://www.econbiz.de/10012216029
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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Geometric step options with jumps : parity relations, PIDEs, and semi-analytical pricing
Farkas, Walter; Mathys, Ludovic - 2020
particular, we are able to obtain a jump-diffusion disentanglement for the early exercise premium of American-type geometric … American-type geometric down-and-out step call options under hyper-exponential jump-diffusion models. Lastly, we use the latter …
Persistent link: https://www.econbiz.de/10012181323
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Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Kostrzewski, Maciej - In: Central European Journal of Economic Modelling and … 7 (2015) 1, pp. 43-70
exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection …
Persistent link: https://www.econbiz.de/10011265621
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Heavy metals: Might as well jump
Wilmot, Neil A. - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-14
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...
Persistent link: https://www.econbiz.de/10013200211
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