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  • Search: subject:"Jump risk"
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Year of publication
Subject
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Volatility 51 Volatilität 51 Option pricing theory 30 Optionspreistheorie 30 Jump risk 24 Risikoprämie 24 Risk premium 24 Risiko 22 Risk 22 jump risk 21 CAPM 17 Stochastic process 17 Stochastischer Prozess 17 Capital income 16 Kapitaleinkommen 16 Börsenkurs 13 Share price 13 Option trading 11 Optionsgeschäft 11 Portfolio selection 11 Portfolio-Management 11 Theorie 10 Theory 10 Derivat 8 Derivative 8 Risikomanagement 8 Risk management 8 Estimation 7 Schätzung 7 Credit risk 6 Financial crisis 6 Finanzkrise 6 Jump Risk 6 Kreditrisiko 6 Tail Risk 6 Affine jump diffusion 5 China 5 Exchange rate 5 Forecasting model 5 Hedging 5
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Online availability
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Undetermined 47 Free 29 CC license 1
Type of publication
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Article 57 Book / Working Paper 30
Type of publication (narrower categories)
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Article in journal 47 Aufsatz in Zeitschrift 47 Working Paper 20 Graue Literatur 13 Non-commercial literature 13 Arbeitspapier 12 Article 2 Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1
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Language
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English 70 Undetermined 16 French 1
Author
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Prokopczuk, Marcel 8 Wese Simen, Chardin 8 Nguyen, Duc Binh Benno 7 Branger, Nicole 4 Kemper, Annika 4 Petersen, Annelie 4 Schmeck, Maren Diane 4 Yun, Jaeho 4 Ammann, Manuel 3 Buesser, Ralf 3 Mizrach, Bruce 3 Olijslagers, Stan 3 Schlag, Christian 3 Vette, Nander de 3 Wang, Xingchun 3 Wijnbergen, Sweder van 3 Calvet, Laurent E. 2 Chan, Leunglung 2 Dou, Winston Wei 2 Elliott, Robert 2 Fang, Xiang 2 Fearnley, Marcus 2 Lo, Andrew W. 2 Ma, Chenghu 2 Poon, Ser-Huang 2 Rodrigues, Paulo Jorge Maurício 2 Siu, Tak 2 Uhling, Harald 2 Wang, Qingxia 2 Adlai J. , Fisher 1 Arouri, Mohamed 1 Bakshi, Gurdip 1 Bali, Turan G. 1 Bandi, Federico M. 1 Broadie, Mark 1 Byun, Suk Joon 1 Cao, Yi 1 Carbonneau, Alexandre 1 Carverhill, Andrew 1 Chang, Kook-hyun 1
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Institution
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Department of Economics, Rutgers University-New Brunswick 2 C.E.P.R. Discussion Papers 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Duke University, Department of Economics 1 HEC Paris (École des Hautes Études Commerciales) 1 Handelns Utredningsinstitut (HUI Research) 1 School of Finance, Universität St. Gallen 1 Økonomisk Institut, Københavns Universitet 1
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Published in...
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Journal of empirical finance 5 Finance research letters 4 Journal of banking & finance 4 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 3 Hannover Economic Papers (HEP) 3 International review of financial analysis 3 Journal of financial markets 3 Applied economics 2 Asia-Pacific journal of financial studies 2 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 2 Journal of econometrics 2 Journal of economic dynamics & control 2 Management Science 2 Pacific-Basin finance journal 2 Review of quantitative finance and accounting 2 The North American journal of economics and finance : a journal of financial economics studies 2 Annals of Finance 1 Annual review of financial economics 1 Asia-Pacific Financial Markets 1 CEPR Discussion Papers 1 CIRANO Working Papers 1 Center for Mathematical Economics Working Papers 1 DNB working papers 1 Discussion Papers / Økonomisk Institut, Københavns Universitet 1 Discussion paper / Centre for Economic Policy Research 1 Discussion paper / Tinbergen Institute 1 Economic modelling 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 HUI Working Papers 1 Insurance 1 International journal of financial services management : IJFSM 1 Journal of Accounting and Management Information Systems (JAMIS) 1 Journal of Banking & Finance 1 Journal of Empirical Finance 1 Journal of accounting & management information systems : JAMIS 1 Journal of financial stability 1 Journal of international money and finance 1 Les Cahiers de Recherche 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1
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Source
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ECONIS (ZBW) 60 RePEc 17 EconStor 10
Showing 1 - 10 of 87
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The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - In: Mathematics and Financial Economics 19 (2025) 2, pp. 293-327
introducing a dimension for jump risk. As introduced by Kemper et al. [ 30 ], the MPDP arises through the use of geometric …
Persistent link: https://www.econbiz.de/10015437981
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Cover Image
The market price of jump risk for delivery periods : pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - In: Mathematics and financial economics 19 (2025) 2, pp. 293-327
Persistent link: https://www.econbiz.de/10015526414
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Cover Image
Pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - 2023
In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...
Persistent link: https://www.econbiz.de/10014374578
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Determinants of short-term corporate yield spreads : evidence from the commercial paper market
Huang, Jing-Zhi; Liu, Bibo; Shi, Zhan - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 539-579
Persistent link: https://www.econbiz.de/10014317896
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Cover Image
Pricing of electricity swaps with geometric averaging
Kemper, Annika; Schmeck, Maren Diane - 2023
In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In...
Persistent link: https://www.econbiz.de/10014277000
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Cover Image
Pricing basket spread options with default risk under GARCH-jump models
Dong, Dingding; Qian, Xianda; Wang, Xingchun - In: The journal of futures markets 45 (2025) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10015376678
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Crypto inverse-power options and fractional stochastic volatility
Li, Boyi; Xia, Weixuan - In: Quantitative finance 25 (2025) 7, pp. 1073-1099
Persistent link: https://www.econbiz.de/10015534179
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Conditional volatility targeting strategy considering jump effects : evidence from sustainable ESG equity index
Huang, Jr-Wei; Yang, Sharon S.; Cheng, Hung-Wen - In: Pacific-Basin finance journal 88 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015324171
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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Measuring the jump risk contribution under market microstructure noise : evidence from Chinese stock market
Yu, Chao; Zhao, Xujie - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
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