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~subject:"Portfolio-Management"
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Search: subject:"Lévy processes"
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Portfolio-Management
Lévy processes
227
Stochastischer Prozess
154
Stochastic process
148
Optionspreistheorie
127
Option pricing theory
126
Volatilität
48
Levy processes
46
Volatility
46
Theorie
29
Derivat
28
Derivative
28
Option pricing
25
Lévy Processes
24
Optionsgeschäft
24
Option trading
23
Theory
23
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
Portfolio selection
16
Risk Sensitive Control
16
Stochastic Control
16
Viscosity Solutions
16
option pricing
16
stochastic volatility
14
Statistical distribution
13
Statistische Verteilung
13
Monte Carlo simulation
12
Scale functions
12
Credit risk
11
Yield curve
11
Zinsstruktur
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multivariate subordinators
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Angelelli, Enrico
1
Arai, Takuji
1
Aït-Sahalia, Yacine
1
Bacinello, Anna Rita
1
Bihary, Zsolt
1
Bouzianis, George
1
Csóka, Péter
1
Farkas, Walter
1
Framstad, Nils Chr.
1
Grabchak, Michael
1
Hernández, Camilo
1
Hughston, Lane P.
1
Imai, Yuto
1
Junca, Mauricio
1
Li, Xin
1
Lozza, Sergio Ortobelli
1
Løkka, Arne
1
Maggistro, Rosario
1
Mathys, Ludovic
1
Matthys, Felix
1
Mba, Jules Clement
1
Moreno-Franco, Harold
1
Mwambi, Sutene
1
Najafabadi, Amir T. Payandeh
1
Ndoci, Alda
1
Noba, Kei
1
Paseka, Alexander
1
Pérez, José-Luis
1
Suzuki, Ryoichi
1
Szabó, Dávid Zoltán
1
Thavaneswaran, Aerambamoorthy
1
Vahabi, Saman
1
Vasiljević, Nikola
1
Xu, Junwei
1
Yamazaki, Kazutoshi
1
Yano, Kouji
1
Zoccolan, Ivan
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Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Annals of finance
1
Applied mathematical finance
1
Computational Management Science : CMS
1
Finance research letters
1
Financial markets and portfolio management
1
Journal of economic theory
1
Journal of risk finance : the convergence of financial products and insurance
1
Memorandum / Department of Economics, University of Oslo
1
Mu̐helytanulmányok / Magyar Tudományos Akadémia, Közgazdaságtudományi Intézet
1
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ECONIS (ZBW)
16
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1
Optimal withdrawal strategies in GLWB variable annuities
Bacinello, Anna Rita
;
Maggistro, Rosario
;
Zoccolan, Ivan
-
2022
Persistent link: https://www.econbiz.de/10013341541
Saved in:
2
Generalized two-barrier proportional step options
Li, Xin
- In:
Finance research letters
51
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014288833
Saved in:
3
Optimal investment strategy for a DC pension fund plan in a finite horizon time : an optimal stochastic control approach
Vahabi, Saman
;
Najafabadi, Amir T. Payandeh
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 367-383
Persistent link: https://www.econbiz.de/10013342158
Saved in:
4
Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter
;
Mathys, Ludovic
;
Vasiljević, Nikola
-
2019
properties. Our intra-horizon expected shortfall is well-defined for (m)any popular class(es) of
Levy
processes
encountered when …
Persistent link: https://www.econbiz.de/10012179511
Saved in:
5
Spectral risk measure of holding stocks in the long run
Bihary, Zsolt
;
Csóka, Péter
;
Szabó, Dávid Zoltán
-
2018
exponential
Lévy
processes
. We also prove the same behavior for all spectral risk measures (including the important special case …
Persistent link: https://www.econbiz.de/10012011388
Saved in:
6
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
7
Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne
;
Xu, Junwei
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
Saved in:
8
A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization
Mba, Jules Clement
;
Mwambi, Sutene
- In:
Financial markets and portfolio management
34
(
2020
)
2
,
pp. 199-214
Persistent link: https://www.econbiz.de/10012289624
Saved in:
9
Robust consumption and portfolio policies when asset prices can jump
Aït-Sahalia, Yacine
;
Matthys, Felix
- In:
Journal of economic theory
179
(
2019
),
pp. 1-56
Persistent link: https://www.econbiz.de/10012131456
Saved in:
10
Timing portfolio strategies with exponential
Lévy
processes
Lozza, Sergio Ortobelli
;
Angelelli, Enrico
;
Ndoci, Alda
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 97-127
Persistent link: https://www.econbiz.de/10011993426
Saved in:
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