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  • Search: subject:"MARTINGALE"
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Year of publication
Subject
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Martingale 357 Martingal 326 Theorie 201 Theory 185 Stochastic process 96 Stochastischer Prozess 95 Optionspreistheorie 80 Option pricing theory 75 martingale 74 Schätztheorie 60 Estimation theory 56 Zeitreihenanalyse 54 Volatilität 53 Time series analysis 50 Volatility 49 Portfolio-Management 45 CAPM 44 Portfolio selection 42 Börsenkurs 27 Bubbles 26 Hedging 25 Share price 25 Statistical test 25 Statistischer Test 25 Spekulationsblase 23 Arbitrage 21 Nichtparametrisches Verfahren 20 equation 20 statistics 20 time series 20 Incomplete market 19 Capital income 18 Kapitaleinkommen 18 Nonparametric statistics 18 Arbitrage Pricing 17 Mathematical programming 17 Mathematische Optimierung 17 Schätzung 17 Estimation 16 Unvollkommener Markt 16
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Online availability
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Free 646 CC license 9
Type of publication
All
Book / Working Paper 551 Article 89 Other 6
Type of publication (narrower categories)
All
Working Paper 212 Graue Literatur 163 Non-commercial literature 163 Arbeitspapier 157 Article in journal 49 Aufsatz in Zeitschrift 49 Article 14 Hochschulschrift 10 Thesis 10 Conference paper 1 Konferenzbeitrag 1 Konferenzschrift 1
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Language
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English 512 Undetermined 129 German 3 Hungarian 1 Spanish 1
Author
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Schweizer, Martin 18 Podolskij, Mark 14 Platen, Eckhard 13 Karantounias, Anastasios G. 11 Phillips, Peter C. B. 11 Linton, Oliver 10 Hulley, Hardy 8 Jacod, Jean 8 Phillips, Peter C.B. 8 Barndorff-Nielsen, Ole E. 7 Chiarella, Carl 7 Ielpo, Florian 7 Jarrow, Robert A. 7 Kardaras, Constantinos 7 Christensen, Bent Jesper 6 Christensen, Kim 6 Dhaene, Jan 6 Guegan, Dominique 6 Henry-Labordere, Pierre 6 Honda, Toshio 6 Ibragimov, Rustam 6 Nielsen, Bent 6 Stassen, Ben 6 Sørensen, Michael 6 Vetter, Mathias 6 Abadie, Alberto 5 Biagini, Francesca 5 Bollerslev, Tim 5 Chernozhukov, Victor 5 Clark, Todd E. 5 Dahl, Christian M. 5 Devolder, Pierre 5 Effraimidis, Georgios 5 Giraitis, Liudas 5 Hong, Seok Young 5 Huang, Chen 5 Imkeller, Peter 5 Johansen, Søren 5 Kim, Jae H. 5 Todorov, Viktor 5
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Institution
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International Monetary Fund (IMF) 21 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 18 HAL 16 Cowles Foundation for Research in Economics, Yale University 11 London School of Economics (LSE) 10 School of Economics and Management, University of Aarhus 10 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 9 Finance Discipline Group, Business School 8 University of Bonn, Germany 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 National Bureau of Economic Research 5 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 4 Graduate School of Economics, Hitotsubashi University 4 Université Paris-Dauphine (Paris IX) 4 Economics Group, Nuffield College, University of Oxford 3 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 3 Université Paris-Dauphine 3 Bonn Graduate School of Economics 2 Center for Agricultural and Rural Development (CARD), Iowa State University 2 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Department of Economics, Oxford University 2 Econometric Society 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 European Central Bank 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 Institute of Economic Research, Hitotsubashi University 2 Lusk Center for Real Estate, Marshall School of Business 2 Statistisk Sentralbyrå, Government of Norway 2 Swiss Finance Institute 2 Agricultural and Applied Economics Association - AAEA 1 Anderson Graduate School of Management, University of California-Los Angeles (UCLA) 1 Association of African Young Economists - AAYE 1 Banca d'Italia 1 Banco de España 1 CESifo 1 Center for Economic Research <Minneapolis, Minn.> 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1
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Published in...
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IMF Working Papers 21 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 19 MPRA Paper 18 Research paper series / Swiss Finance Institute 16 CREATES research paper 14 Swiss Finance Institute Research Paper 14 Cowles Foundation Discussion Papers 11 CREATES Research Papers 10 LSE Research Online Documents on Economics 10 Working Papers / HAL 10 SFB 373 Discussion Paper 9 SFB 373 Discussion Papers 9 Working Paper 9 Finance and stochastics 8 Risks : open access journal 8 Cowles Foundation discussion paper 7 Research Paper Series / Finance Discipline Group, Business School 7 cemmap working paper 7 Bonn Econ Discussion Papers 6 CEMMAP working papers / Centre for Microdata Methods and Practice 6 Discussion papers of interdisciplinary research project 373 6 Post-Print / HAL 6 Risks 6 Discussion Paper Serie B 5 Mathematics Preprint Archive 5 NBER Working Paper 5 CREATES Research Paper 4 Cambridge working papers in economics 4 Discussion Papers / Graduate School of Economics, Hitotsubashi University 4 Discussion paper / Center for Economic Research, Tilburg University 4 Documents de travail du Centre d'Economie de la Sorbonne 4 Economics Papers from University Paris Dauphine 4 Mathematical finance 4 Quantitative economics : QE ; journal of the Econometric Society 4 AFI 3 Annals of Economics and Finance 3 CORE discussion papers : DP 3 CoFE discussion papers 3 Cowles Foundation Discussion Paper 3 ERID working paper 3
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Source
All
ECONIS (ZBW) 349 RePEc 219 EconStor 69 BASE 9
Showing 1 - 10 of 646
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What are asset price bubbles? : a survey on definitions of financial bubbles
Baumann, Michael; Janischewski, Anja - 2025
Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...
Persistent link: https://www.econbiz.de/10015207173
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Mean-field equilibrium price formation with exponential utility
Fujii, Masaaki; Sekine, Masashi - 2025 - This version: January 6, 2025
Persistent link: https://www.econbiz.de/10015164456
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Modeling financial bubbles with optional semimartingales in nonstandard probability spaces
Abdelghani, Mohamed; Melnikov, Alexander - 2025
-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to … a strict local martingale. This paper explores price bubbles using the framework of optional semimartingale calculus …
Persistent link: https://www.econbiz.de/10015358908
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Optional projection under equivalent local martingale measures
Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka - In: Finance and stochastics 27 (2023) 2, pp. 435-465
Persistent link: https://www.econbiz.de/10014253651
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A general theory of tax-smoothing
Karantounias, Anastasios G. - 2024
Persistent link: https://www.econbiz.de/10015159279
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Option pricing in an incomplete market
Grigorian, Karen; Jarrow, Robert A. - 2024
Persistent link: https://www.econbiz.de/10015399436
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Deep learning for quadratic hedging in incomplete jump market
Agram, Nacira; Øksendal, Bernt K.; Rems, Jan - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 463-499
Persistent link: https://www.econbiz.de/10015078228
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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
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Robust inference on correlation under general heterogeneity
Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - In: Journal of econometrics 240 (2024) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10015075086
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On entropy martingale optimal transport theory
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10015044783
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