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Search: subject:"Jump-Diffusion processes"
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Stochastic process
18
Stochastischer Prozess
18
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
Option pricing theory
15
Optionspreistheorie
15
jump-diffusion processes
14
Jump diffusion processes
8
Volatility
8
Volatilität
8
Derivat
7
Derivative
7
Option trading
7
Optionsgeschäft
7
American options
5
stochastic volatility
4
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
Credit risk
2
Exchange options
2
Hamilton-Jacob-Bellman equation
2
Incomplete markets
2
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Undetermined
46
Free
11
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Article
49
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Article in journal
19
Aufsatz in Zeitschrift
19
Arbeitspapier
1
Graue Literatur
1
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1
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1
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38
English
21
Romanian
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
Ziogas, Andrew
3
Cheang, Gerald H. L.
2
Cufaro Petroni, Nicola
2
Dai, Hongshuai
2
Garces, Len Patrick Dominic M.
2
Liu, Zaiming
2
Luan, Nana
2
Lupu, Radu
2
Sabino, Piergiacomo
2
Amaya, Diego
1
Antonelli, Fabio
1
Arai, Takuji
1
BRETON, JEAN-CHRISTOPHE
1
Beliaeva, Natalia
1
Ben-Abdellatif, Malek
1
Ben-Ameur, Hatem
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
Chérif, Rim
1
Cousot, Laurent
1
Dai, Min
1
Das, Sanjiv Ranjan
1
Davis, Mark H A
1
Fakhfakh, Tarek
1
Gauthier, Geneviève
1
Graceffa, Federico
1
Grzelak, Lech
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
Research Paper Series / Finance Discipline Group, Business School
5
Quantitative finance
4
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
Physica A: Statistical Mechanics and its Applications
1
Review of derivatives research
1
Statistics & Probability Letters
1
Theoretical and Applied Economics
1
World Scientific Books
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RePEc
40
ECONIS (ZBW)
20
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1
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1
Quasi-maximum likelihood for estimating structural models
Ben-Abdellatif, Malek
;
Ben-Ameur, Hatem
;
Chérif, Rim
; …
-
2023
-
Revised: January 2023
Persistent link: https://www.econbiz.de/10014253148
Saved in:
2
The informational content of high-frequency option prices
Amaya, Diego
;
Bégin, Jean-François
;
Gauthier, Geneviève
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
Saved in:
3
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.
;
Cheang, Gerald H. L.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Saved in:
4
Fast pricing of energy derivatives with mean-reverting
jump-diffusion
processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
5
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
6
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:
7
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:
8
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:
9
A computational approach to first passage problems of reflected hyperexponential
jump
diffusion
processes
Cai, Ning
;
Yang, Xuewei
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
Saved in:
10
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
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