Search Results - subject:"Jump process"

Exact characterization of the jointly optimal restocking and auditing policy in inventory systems with record inaccuracy

Chehrazi, Naveed - In: Mathematics of operations research 50 (2025) 1, pp. 656-710

Persistent link: https://www.econbiz.de/10015211759

Dynamic contract design in the presence of double moral hazard

Tian, Feng; Astashkina, Ekaterina; Duenyas, Izak - In: Management science : journal of the Institute for … 71 (2025) 8, pp. 6475-6494

Persistent link: https://www.econbiz.de/10015447382

Inventory systems with record inaccuracy : transaction errors vs. unobservable loss

Chehrazi, Naveed - In: Manufacturing & service operations management : M & SOM 27 (2025) 4, pp. 1183-1204

Persistent link: https://www.econbiz.de/10015433260

A mathematical formulation of the valuation of ether and ether derivatives as a function of investor sentiment and price jumps

Abraham, Rebecca; El-Chaarani, Hani - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-20

utility function in the form of a Bessel function. Ether price functions consist of a Levy jump process. Ether futures are … the Levy jump process of price fluctuations during the delivery period. For ether options, a less risky ether option …

Persistent link: https://www.econbiz.de/10014332747

A mathematical formulation of the valuation of ether and ether derivatives as a function of investor sentiment and price jumps

Abraham, Rebecca; El-Chaarani, Hani - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-20

Persistent link: https://www.econbiz.de/10014284296

Forecasting trading-session return volatility in Taiwan futures market : a periodic regime switching with jump approach

Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu Ching - In: Asia Pacific financial markets 31 (2024) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10014548365

Punish underperformance with suspension : optimal dynamic contracts in the presence of switching cost

Cao, Ping; Sun, Peng; Tian, Feng - In: Management science : journal of the Institute for … 70 (2024) 5, pp. 3020-3037

Persistent link: https://www.econbiz.de/10014551043

Jump-diffusion volatility models for variance swaps : an empirical performance analysis

Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014457699

Forecasting nonstationary time series

Gatarek, Lukasz T.; Welfe, Aleksander - In: Journal of forecasting 42 (2023) 7, pp. 1930-1949

Persistent link: https://www.econbiz.de/10014432804

Comment on "optimal contract to induce continued effort"

Cao, Ping; Tian, Feng; Sun, Peng - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 796-808

Persistent link: https://www.econbiz.de/10012821253