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  • Search: subject:"Lévy Process"
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Year of publication
Subject
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Lévy process 208 Stochastischer Prozess 159 Stochastic process 156 Option pricing theory 139 Optionspreistheorie 139 Levy process 94 Theorie 53 Theory 50 Volatility 45 Volatilität 45 Levy-Prozess 40 Portfolio selection 33 Portfolio-Management 33 Option trading 30 Optionsgeschäft 30 Statistical distribution 28 Statistische Verteilung 28 Risiko 24 Stochastic volatility 24 Risk 23 Risk model 19 Zeitreihenanalyse 19 Lévy-Prozess 18 Option pricing 18 Risikomodell 18 Derivat 17 Derivative 17 Mathematical finance 17 Time series analysis 17 Finanzmathematik 15 Hedging 15 option pricing 15 stochastic volatility 15 Spectrally negative Lévy process 14 CAPM 12 Credit risk 12 Credit derivative 11 Kreditderivat 11 Kreditrisiko 11 Laplace transform 11
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Online availability
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Undetermined 218 Free 137 CC license 7
Type of publication
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Article 292 Book / Working Paper 124 Other 1
Type of publication (narrower categories)
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Article in journal 155 Aufsatz in Zeitschrift 155 Working Paper 32 Graue Literatur 27 Non-commercial literature 27 Arbeitspapier 20 Hochschulschrift 15 Article 14 Thesis 14 Bibliografie 2 Collection of articles written by one author 2 Dissertation u.a. Prüfungsschriften 2 Sammlung 2 Collection of articles of several authors 1 Conference paper 1 Konferenzbeitrag 1 Lehrbuch 1 Sammelwerk 1 research-article 1
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Language
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English 251 Undetermined 161 German 2 French 2 Czech 1
Author
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Barndorff-Nielsen, Ole E. 12 Shephard, Neil 11 Kim, Young Shin 10 Aguilar, Jean-Philippe 9 Zhou, Xiaowen 9 Chen, Yu-Fu 7 Funke, Michael 7 Klüppelberg, Claudia 7 Abbring, Jaap H. 6 Landriault, David 5 Maller, Ross A. 5 Schoutens, Wim 5 Seo, Sang Byung 5 Tankov, Peter 5 Wang, Wenyuan 5 Yamazaki, Akira 5 Campbell, John Y. 4 Carr, Peter 4 Cont, Rama 4 Haug, Stephan 4 Korbel, Jan 4 Madan, Dilip 4 Martin, Ian 4 Mittnik, Stefan 4 Wachter, Jessica 4 Benth, Fred Espen 3 Bäuerle, Nicole 3 Dong, Chaohua 3 Endres, Sylvia 3 Fasen, Vicky 3 Ferrari, Giorgio 3 Fink, Holger Maria 3 Gao, Jiti 3 Goutte, Stéphane 3 Griffin, Philip S. 3 Hainaut, Donatien 3 Hess, Markus 3 Kallsen, Jan 3 Kappus, Johanna 3 Kirkby, Justin Lars 3
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Department of Economics, Oxford University 6 Economics Group, Nuffield College, University of Oxford 4 EconWPA 3 National Bureau of Economic Research 3 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics Studies, University of Dundee 2 HAL 2 Judge Institute of Management Studies 2 CESifo 1 Christian-Albrechts-Universität zu Kiel 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Economics, Florida International University 1 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 1 Duke University, Department of Economics 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Eric Cuvillier <Firma> 1 Finance Discipline Group, Business School 1 Finance Research Centre, Oxford University 1 Henley Business School, University of Reading 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 London School of Economics (LSE) 1 School of Economics and Management, University of Aarhus 1 School of Economics, Singapore Management University 1 Scottish Institute for Research in Economics (SIRE) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Tinbergen Institute 1 Tinbergen Instituut 1 Toulouse School of Economics (TSE) 1 University of Bonn, Germany 1 Université Paris-Dauphine (Paris IX) 1 Verlag Dr. Kovač 1 World Scientific Publishing Co. Pte. Ltd. 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Insurance 28 Stochastic Processes and their Applications 27 Insurance: Mathematics and Economics 15 International journal of theoretical and applied finance 14 International Journal of Theoretical and Applied Finance (IJTAF) 10 Quantitative Finance 10 Statistics & Probability Letters 10 MPRA Paper 9 Risks 9 Finance and Stochastics 8 Finance and stochastics 8 Quantitative finance 7 Risks : open access journal 7 Applied mathematical finance 6 Economics Series Working Papers / Department of Economics, Oxford University 6 Scandinavian actuarial journal 6 Asia-Pacific Financial Markets 5 Journal of Risk and Financial Management 5 Journal of econometrics 5 Journal of risk and financial management : JRFM 5 Annals of the Institute of Statistical Mathematics 4 Computational economics 4 Discussion Paper 4 Economics Papers / Economics Group, Nuffield College, University of Oxford 4 European journal of operational research : EJOR 4 International journal of financial engineering 4 Annals of Finance 3 Applied Mathematical Finance 3 Computational Statistics 3 Physica A: Statistical Mechanics and its Applications 3 Review of Derivatives Research 3 Review of derivatives research 3 Statistical Inference for Stochastic Processes 3 Annals of finance 2 Applied economics 2 Bonn Econ Discussion Papers 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Center for Mathematical Economics Working Papers 2 Dundee Discussion Papers in Economics 2 ECON PhD dissertations 2
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Source
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ECONIS (ZBW) 206 RePEc 173 EconStor 26 BASE 6 USB Cologne (EcoSocSci) 4 Other ZBW resources 2
Showing 411 - 417 of 417
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Mixed Hitting-Time Models
Abbring, Jaap H. - Tinbergen Institute
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process— a continuous …
Persistent link: https://www.econbiz.de/10004987437
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Mixed Hitting-Time Models
Abbring, Jaap H. - Tinbergen Instituut
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process— a continuous …
Persistent link: https://www.econbiz.de/10011255698
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A generalization of the results of Pillai
Fujita, Yasuhiro - In: Annals of the Institute of Statistical Mathematics 45 (1993) 2, pp. 361-365
Persistent link: https://www.econbiz.de/10005395731
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Solution to a problem of stochastic process switching
Smith, Gregor W. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 1, pp. 237-239
Persistent link: https://www.econbiz.de/10001102741
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Super contact and related optimality conditions
Dumas, Bernard - In: Journal of economic dynamics & control 15 (1991) 4, pp. 675-685
Persistent link: https://www.econbiz.de/10001111245
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Les options sur contrats futures : introduction d'un processus de diffusion mixte et application aux devises
Bito, Christian - In: Finance : revue de l'Association Française de Finance 8 (1987) 2, pp. 7-24
Persistent link: https://www.econbiz.de/10001075331
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Extreme Financial Risks and Asset Allocation
Courtois, Olivier Le; Walter, Christian - World Scientific Publishing Co. Pte. Ltd.
Each financial crisis calls for ¡ª by its novelty and the mechanisms it shares with preceding crises ¡ª appropriate means to analyze financial risks. In <em>Extreme Financial Risks and Asset Allocation</em>, the authors present in an accessible and timely manner the concepts, methods, and techniques...
Persistent link: https://www.econbiz.de/10011156407
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