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Search: subject:"Levy processes"
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Subject
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Lévy processes
228
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
Portfolio-Management
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
11
multivariate subordinators
11
Barrier options
10
Dividend
10
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Online availability
All
Undetermined
231
Free
101
Type of publication
All
Article
288
Book / Working Paper
98
Other
5
Type of publication (narrower categories)
All
Article in journal
147
Aufsatz in Zeitschrift
147
Working Paper
24
Graue Literatur
11
Non-commercial literature
11
Arbeitspapier
10
Thesis
8
Article
6
Conference paper
6
Konferenzbeitrag
6
Aufsatz im Buch
4
Book section
4
Hochschulschrift
1
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English
229
Undetermined
162
Author
All
Yamazaki, Kazutoshi
17
Lleo, Sébastien
16
Davis, Mark H. A.
15
Eberlein, Ernst
11
Mordecki, Ernesto
9
Schoutens, Wim
9
Carr, Peter
8
Fajardo, José
7
Luciano, Elisa
7
Semeraro, Patrizia
7
Ballotta, Laura
6
Benth, Fred Espen
6
Herzberg, Frederik
6
Levendorskij, Sergej Z.
6
Mandjes, Michel
6
Wu, Liuren
6
Fabozzi, Frank J.
5
Pérez, José-Luis
5
Yamazaki, Akira
5
Egami, Masahiko
4
Hughston, Lane P.
4
Kallsen, Jan
4
Madan, Dilip B.
4
Packham, Natalie
4
Riedel, Frank
4
Schmidt, Wolfgang M.
4
SenGupta, Indranil
4
Su, Xia
4
Vives, Josep
4
Yor, Marc
4
Arai, Takuji
3
Barbachan, José Santiago Fajardo
3
Benth, Fred
3
Boyarchenko, Svetlana
3
Chan, Tat Lung
3
Eliazar, Iddo
3
Gardini, Matteo
3
Geman, Hélyette
3
Habtemicael, Semere
3
Junca, Mauricio
3
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
6
Collegio Carlo Alberto, Università degli Studi di Torino
5
EconWPA
5
School of Economics and Management, University of Aarhus
5
IBMEC Business School - Rio de Janeiro
4
HAL
3
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
3
Université Paris-Dauphine (Paris IX)
3
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Departamento de Estadistica, Universidad Carlos III de Madrid
2
Econometric Society
2
Graduate School of Economics, Kyoto University
2
International Centre for Economic Research (ICER)
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences.
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Department of Economics, University of Bath
1
Duke University, Department of Economics
1
European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
1
Fakultät für Wirtschaftswissenschaften, Technische Universität München
1
Finance Press
1
Frankfurt School of Finance and Management
1
Henley Business School, University of Reading
1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH)
1
Rimini Centre for Economic Analysis (RCEA)
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
University of Bonn, Germany
1
Université Paris-Dauphine
1
World Scientific Publishing Co. Pte. Ltd.
1
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Published in...
All
International journal of theoretical and applied finance
22
Finance and Stochastics
20
Stochastic Processes and their Applications
19
International Journal of Theoretical and Applied Finance (IJTAF)
18
Risk-Sensitive Investment Management
15
Applied mathematical finance
13
Physica A: Statistical Mechanics and its Applications
12
Insurance / Mathematics & economics
8
Finance and stochastics
7
Quantitative Finance
7
Quantitative finance
7
European journal of operational research : EJOR
6
International journal of financial engineering
6
MPRA Paper
6
Applied Mathematical Finance
5
CREATES Research Papers
5
Carlo Alberto Notebooks
5
Operations research letters
5
Risks
5
Risks : open access journal
5
Statistics & Probability Letters
5
The journal of computational finance
5
Finance
4
IBMEC RJ Economics Discussion Papers
4
Journal of banking & finance
4
Mathematics of operations research
4
Review of derivatives research
4
The European journal of finance
4
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers
3
Computational Statistics
3
Computational economics
3
Economics Papers from University Paris Dauphine
3
Mathematical Methods of Operations Research
3
Review of Derivatives Research
3
Studies in Nonlinear Dynamics & Econometrics
3
Working Papers / HAL
3
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Annals of Finance
2
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Source
All
RePEc
192
ECONIS (ZBW)
163
EconStor
20
BASE
14
USB Cologne (EcoSocSci)
2
Showing
101
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110
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391
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Date (oldest first)
101
Sharing and growth in general random multiplicative environments
Liebmann, Thomas
;
Kassberger, Stefan
;
Hellmich, Martin
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 193-206
Persistent link: https://www.econbiz.de/10011641512
Saved in:
102
A note on the optimal dividends paid in a foreign currency
Eisenberg, Julia
;
Krühner, Paul
- In:
Annals of actuarial science : publ. by the Institute of …
11
(
2017
)
1
,
pp. 67-73
Persistent link: https://www.econbiz.de/10011730243
Saved in:
103
Lowest priority waiting time distribution in an accumulating priority Lévy queue
Kella, Offer
;
Ravner, Liron
- In:
Operations research letters
45
(
2017
)
1
,
pp. 40-45
Persistent link: https://www.econbiz.de/10011687127
Saved in:
104
Error analysis in Fourier methods for option pricing
Crocce, Fabián
;
Häppölä, Juho
;
Kiessling, Jonas
; …
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
Saved in:
105
Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura
;
Deelstra, Griselda
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
260
(
2017
)
3
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
Saved in:
106
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
107
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Pérez, José-Luis
;
Yamazaki, Kazutoshi
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011783865
Saved in:
108
Pricing spread options by generalized bivariate edgeworth expansion
Kao, Edward P.
;
Xie, Weiwei
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011777833
Saved in:
109
Semi-analytical valuation for discrete barrier options under time-dependent
Lévy
processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
110
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
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