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Search: subject:"Jump diffusion processes"
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Stochastic process
20
Stochastischer Prozess
20
Jump-diffusion processes
17
Option pricing theory
17
Optionspreistheorie
17
Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
16
Dynamic Investment Management
16
Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Lévy Processes
16
Risk Sensitive Control
16
Stochastic Control
16
Viscosity Solutions
16
jump-diffusion processes
15
Jump diffusion processes
8
Option trading
8
Optionsgeschäft
8
Volatility
8
Volatilität
8
Derivat
7
Derivative
7
American options
5
stochastic volatility
4
Credit risk
3
Kreditrisiko
3
Portfolio selection
3
Portfolio-Management
3
Simulation
3
Stochastic volatility
3
Volterra integral equations
3
free boundary problem
3
method of lines
3
CAPM
2
Capital injections
2
Control theory
2
Energiemarkt
2
Energy market
2
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Undetermined
47
Free
13
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Article
52
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22
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1
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24
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1
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Lleo, Sébastien
17
Davis, Mark H. A.
16
Bruti-Liberati, Nicola
4
Platen, Eckhard
4
Wang, Xingchun
4
Chiarella, Carl
3
Sabino, Piergiacomo
3
Ziogas, Andrew
3
Ben-Abdellatif, Malek
2
Ben-Ameur, Hatem
2
Cheang, Gerald H. L.
2
Chérif, Rim
2
Cufaro Petroni, Nicola
2
Dai, Hongshuai
2
Fakhfakh, Tarek
2
Garces, Len Patrick Dominic M.
2
Liu, Zaiming
2
Luan, Nana
2
Lupu, Radu
2
Amaya, Diego
1
Antonelli, Fabio
1
Arai, Takuji
1
BRETON, JEAN-CHRISTOPHE
1
Beliaeva, Natalia
1
Branger, Nicole
1
Brigo, Damiano
1
Buckley, Winston
1
Bégin, Jean-François
1
CHIARELLA, CARL
1
Cai, Ning
1
Carr, Peter
1
Cheang, Gerald
1
Chiu, Chien-Liang
1
Cousot, Laurent
1
Dai, Min
1
Das, Sanjiv Ranjan
1
Davis, Mark H A
1
Gardini, Matteo
1
Gauthier, Geneviève
1
Graceffa, Federico
1
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Finance Discipline Group, Business School
5
C.E.P.R. Discussion Papers
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Society for Computational Economics - SCE
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
World Scientific Publishing Co. Pte. Ltd.
1
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Risk-Sensitive Investment Management
15
Quantitative finance
5
Research Paper Series / Finance Discipline Group, Business School
5
International Journal of Theoretical and Applied Finance (IJTAF)
3
Quantitative Finance
3
Finance research letters
2
International journal of theoretical and applied finance
2
Applied mathematical finance
1
CEPR Discussion Papers
1
Computational Economics
1
Computational Statistics
1
Computing in Economics and Finance 2006
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
1
Finance and Stochastics
1
INFORMS journal on computing : JOC
1
International journal of financial engineering
1
International review of economics & finance : IREF
1
Journal for Economic Forecasting
1
Journal of Banking & Finance
1
Journal of economic dynamics & control
1
Journal of the Operational Research Society : OR
1
Les cahiers du GERAD
1
MPRA Paper
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical Methods of Operations Research
1
Mathematical methods of operations research
1
OR spectrum : quantitative approaches in management
1
Opsearch : journal of the Operational Research Society of India
1
Physica A: Statistical Mechanics and its Applications
1
Review of derivatives research
1
Statistics & Probability Letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Theoretical and Applied Economics
1
World Scientific Books
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RePEc
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ECONIS (ZBW)
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11
On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Saved in:
12
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.
;
Garces, Len Patrick Dominic M.
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
Saved in:
13
Pricing options on the maximum or minimum of multi-assets under
jump-diffusion
processes
Wang, Xingchun
- In:
International review of economics & finance : IREF
70
(
2020
),
pp. 16-26
Persistent link: https://www.econbiz.de/10012486761
Saved in:
14
Optimal control of electricity input given an uncertain demand
Göttlich, Simone
;
Korn, Ralf
;
Lux, Kerstin
- In:
Mathematical methods of operations research
90
(
2019
)
3
,
pp. 301-328
Persistent link: https://www.econbiz.de/10012153862
Saved in:
15
A systematic and efficient simulation scheme for the Greeks of financial derivatives
Lyuu, Yuh-dauh
;
Teng, Huei-Wen
;
Tseng, Yao-Te
;
Wang, …
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1199-1219
Persistent link: https://www.econbiz.de/10012194755
Saved in:
16
On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps
Perera, Sandun
;
Buckley, Winston
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
8
,
pp. 877-885
Persistent link: https://www.econbiz.de/10011794501
Saved in:
17
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
18
Consumption optimization for recursive utility in a jump-diffusion model
Antonelli, Fabio
;
Mancini, Carlo
- In:
Decisions in economics and finance : DEF ; a journal of …
39
(
2016
)
2
,
pp. 293-310
Persistent link: https://www.econbiz.de/10011642633
Saved in:
19
Pricing power exchange options with correlated jump risk
Wang, Xingchun
- In:
Finance research letters
19
(
2016
),
pp. 90-97
Persistent link: https://www.econbiz.de/10011657466
Saved in:
20
Pricing vulnerable options with stochastic default barriers
Wang, Xingchun
- In:
Finance research letters
19
(
2016
),
pp. 305-313
Persistent link: https://www.econbiz.de/10011657733
Saved in:
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