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Search: subject:"Lévy Process"
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Subject
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Lévy process
208
Stochastischer Prozess
159
Stochastic process
156
Option pricing theory
139
Optionspreistheorie
139
Levy process
94
Theorie
52
Theory
49
Volatility
45
Volatilität
45
Levy-Prozess
40
Portfolio selection
32
Portfolio-Management
32
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
13
CAPM
12
Credit risk
12
Credit derivative
11
Kreditderivat
11
Kreditrisiko
11
Laplace transform
11
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Undetermined
218
Free
136
CC license
7
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Article
291
Book / Working Paper
124
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1
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All
Article in journal
154
Aufsatz in Zeitschrift
154
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32
Graue Literatur
27
Non-commercial literature
27
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20
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15
Article
14
Thesis
14
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2
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2
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English
250
Undetermined
161
German
2
French
2
Czech
1
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All
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
All
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 / Mathematics & economics
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)
205
RePEc
173
EconStor
26
BASE
6
USB Cologne (EcoSocSci)
4
Other ZBW resources
2
Showing
1
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416
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1
Efficient evaluation of expectations of functions of a
Lévy
process
and its extremum
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Finance and stochastics
29
(
2025
)
2
,
pp. 443-468
Persistent link: https://www.econbiz.de/10015394806
Saved in:
2
An excursion theoretic approach to Parisian ruin problem
Li, Bo
;
Zhou, Xiaowen
- In:
Insurance : mathematics and economics
118
(
2024
),
pp. 44-58
Persistent link: https://www.econbiz.de/10015066997
Saved in:
3
Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
Kreveld, Lucas van
;
Mandjes, Michel
;
Dorsman, Jan-Pieter
- In:
Scandinavian actuarial journal
2024
(
2024
)
6
,
pp. 561-582
Persistent link: https://www.econbiz.de/10015052470
Saved in:
4
Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire
- In:
Journal of Risk and Financial Management
16
(
2023
)
1
,
pp. 1-28
c3;2; and the VG process converges asymptotically in distribution to a
Lévy
process
driven by a normal distribution with …
Persistent link: https://www.econbiz.de/10014332830
Saved in:
5
Approximating the classical risk process by stable Lévy motion
Cao, Jingyi
;
Young, Virginia R.
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 679-707
Persistent link: https://www.econbiz.de/10014383892
Saved in:
6
A refracted
Lévy
process
with delayed dividend pullbacks
Wang, Zijia
;
Lkabous, Mohamed Amine
;
Landriault, David
- In:
Scandinavian actuarial journal
2023
(
2023
)
9
,
pp. 885-906
Persistent link: https://www.econbiz.de/10014384012
Saved in:
7
Multi-population mortality modeling with Lévy processes
Jevtić, Petar
;
Qin, Chengwei
;
Zhou, Hongjuan
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 583-609
Persistent link: https://www.econbiz.de/10014443756
Saved in:
8
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Arta Surya
;
Wang, Wenyuan
;
Zhao, Xianghua
;
Zhou, …
- In:
Scandinavian actuarial journal
2023
(
2023
)
2
,
pp. 97-122
Persistent link: https://www.econbiz.de/10014325014
Saved in:
9
Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-28
; and the VG process converges asymptotically in distribution to a
Lévy
process
driven by a normal distribution with mean (μ …
Persistent link: https://www.econbiz.de/10014288862
Saved in:
10
Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim
;
Lu, Kevin W.
- In:
Applied mathematical finance
30
(
2023
)
4
,
pp. 207-230
Persistent link: https://www.econbiz.de/10015051244
Saved in:
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