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~subject:"Yield curve"
~subject:"Zinsstruktur"
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Search: subject:"Levy processes"
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Yield curve
Zinsstruktur
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
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
multivariate subordinators
11
Barrier options
10
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10
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11
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Eberlein, Ernst
3
Gerhart, Christoph
2
Akahori, Jirô
1
Benth, Fred Espen
1
Biagini, Francesca
1
Bojarčenko, Svetlana I.
1
Bregman, Julia
1
Budhi Arta Surya
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Chiu, Chun-Yuan
1
Eddahbi, M'hamed
1
Kercheval, Alec
1
Levendorskij, Sergej Z.
1
Lütkebohmert-Holtz, Eva
1
Macrina, Andrea
1
Meyer-Brandis, Thilo
1
Palmowski, Zbigniew
1
Pérez, José Luis
1
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1
Yamazaki, Akira
1
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Applied mathematical finance
3
International journal of theoretical and applied finance
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of financial economics
1
Finance and stochastics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
11
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1
The Leland-Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew
;
Pérez, José Luis
;
Budhi Arta Surya
; …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 1035-1082
Persistent link: https://www.econbiz.de/10012518151
Saved in:
2
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
3
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
4
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
5
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:
6
Computation of Greeks in LIBOR models driven by time : inhomogeneous
Lévy
processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
7
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
8
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Saved in:
9
Asset pricing with non-geometric type of dividends
Yamazaki, Akira
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011408577
Saved in:
10
CDO term structure modelling with
Lévy
processes
and the relation to market models
Schmidt, Thorsten
;
Zabczyk, Jerzy
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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