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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
All
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 1 - 10 of 712
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
Persistent link: https://www.econbiz.de/10015376680
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Optimal venture capital entry-exit strategy with jump–diffusion risk
Zuo, Si; Wang, Haijun - 2025
Persistent link: https://www.econbiz.de/10015372572
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Give me a break : what does the equity premium compensate for?
Perras, Patrizia Julia; Wagner, Niklas F. - In: Journal of international financial markets, … 99 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015405681
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Discontinuous movements and asymmetries in cryptocurrency markets
Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi; … - In: The European journal of finance 30 (2024) 16, pp. 1907-1931
Persistent link: https://www.econbiz.de/10015273086
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Application of Fractal Processes and Fractional Derivatives in Finance
Chan, Leung Lung (contributor) - 2024
In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...
Persistent link: https://www.econbiz.de/10015324975
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Duality in optimal consumption-investment problems with alternative data
Chen, Kexin; Wong, Hoi Ying - In: Finance and stochastics 28 (2024) 3, pp. 709-758
Persistent link: https://www.econbiz.de/10015130378
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What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion
Fang, Dong-Jie; Yeh, Zong-Wei; He, Jie-Cao; Lin, Shih-kuei - In: Pacific-Basin finance journal 86 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015095106
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Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions
Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015077292
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An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye; Huang, Weizhang; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
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Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting
Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014574920
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