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  • Search: subject:"PARTIAL DIFFERENTIAL EQUATIONS"
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Year of publication
Subject
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Partial differential equations 48 Analysis 46 Mathematical analysis 46 Option pricing theory 39 Optionspreistheorie 39 Stochastic process 31 Stochastischer Prozess 31 partial differential equations 29 Stochastic partial differential equations 24 Black-Scholes model 11 Black-Scholes-Modell 11 Derivat 10 Derivative 10 Monte Carlo simulation 10 Theorie 10 Volatility 10 Volatilität 10 Monte-Carlo-Simulation 9 Optionsgeschäft 9 Theory 9 Option trading 8 stochastic partial differential equations 8 02.30.Jr Partial differential equations 7 option pricing 7 Control theory 6 optimal control 6 Estimation theory 5 Mathematical programming 5 Mathematische Optimierung 5 Optimal control 5 Parabolic partial differential equations 5 Schätztheorie 5 05.45.Yv Solitons 4 American options 4 Backward stochastic differential equations 4 Calculus via regularization 4 Cauchy's Residue Theorem 4 Deep learning 4 Economic growth 4 Infinite dimensional analysis 4
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Online availability
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Undetermined 115 Free 53 CC license 1
Type of publication
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Article 145 Book / Working Paper 42 Other 2
Type of publication (narrower categories)
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Article in journal 51 Aufsatz in Zeitschrift 51 Working Paper 11 Arbeitspapier 8 Graue Literatur 8 Non-commercial literature 8 Article 3
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Language
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Undetermined 116 English 73
Author
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Camacho, Carmen 10 Fabbri, Giorgio 9 Boucekkine, Raouf 8 Benth, Fred Espen 4 Yamada, Toshihiro 4 Chilarescu, Constantin 3 Kim, Kyeong-Hun 3 Pelsser, Antoon 3 Russo, Francesco 3 Smrkolj, Grega 3 Takahashi, Akihiko 3 Tsuchida, Yoshifumi 3 Abdul-Aziz, S.F. 2 Babutsidze, Zakaria 2 Bank, Peter 2 Bayer, Christian 2 Benth, Fred 2 Buckwar, Evelyn 2 Camacho, C. 2 Carr, Peter 2 Cowan, Robin 2 Dehghan, Mehdi 2 Fabbri, G. 2 Friz, Peter K. 2 Guéant, Olivier 2 Hadjidimos, A. 2 Howarth, R.B. 2 Ishimura, Naoyuki 2 Khater, A.H. 2 Kim, Panki 2 Lempa, Jukka 2 Ma, Jin 2 Moussa, M.H.M. 2 Norgaard, R.B. 2 Pelizzari, Luca 2 Pérez-Barahona, Agustín 2 Riposo, Julien 2 Ruijgrok, Matthijs 2 Sanfelici, Simona 2 Shardlow, Tony 2
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Institution
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HAL 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne 3 Tinbergen Instituut 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre d'Études et de Recherche en Économie, Gestion, Modélisation et Informatique Appliquée (CEREGMIA), Université des Antilles et de la Guyane 1 Department of Economics, Adam Smith Business School 1 Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 1 Facultat d'Economia i Empresa, Universitat de Barcelona 1 ISEG - School of Economics and Management, Department of Economics, University of Lisbon 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institut für Wirtschaftsinformatik, Wirtschaftswissenschaftliche Fakultät 1 School of Economics and Management, University of Aarhus 1 School of Economics, University of Surrey 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tinbergen Institute 1 United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology 1 United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT) 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Mathematics and Computers in Simulation (MATCOM) 23 Stochastic Processes and their Applications 14 The European Physical Journal B - Condensed Matter and Complex Systems 9 Computational Optimization and Applications 6 Finance and Stochastics 6 Physica A: Statistical Mechanics and its Applications 6 International journal of theoretical and applied finance 5 Applied mathematical finance 4 Finance and stochastics 4 MPRA Paper 4 Quantitative Finance 4 Quantitative finance 4 The journal of computational finance 4 Applied Mathematical Finance 3 Documents de recherche 3 Dynamic games and applications : DGA 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 Tinbergen Institute Discussion Papers 3 Working Papers / HAL 3 Asia-Pacific Financial Markets 2 CARF working paper 2 Computational economics 2 Discussion paper / Tinbergen Institute 2 Economics Bulletin 2 International journal of financial engineering 2 International journal of theoretical and applied finance : IJTAF 2 Journal of mathematical finance 2 Mathematical finance : an international journal of mathematics, statistics and financial economics 2 Statistical Inference for Stochastic Processes 2 Statistics & Probability Letters 2 Tinbergen Institute Discussion Paper 2 Working paper 2 AMSE Working Papers 1 AStA Advances in Statistical Analysis 1 Annals of Finance 1 CIRJE discussion papers / F series 1 CREATES Research Papers 1 Cambridge working papers in economics 1 Computational Management Science : CMS 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1
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Source
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RePEc 122 ECONIS (ZBW) 59 EconStor 6 BASE 2
Showing 1 - 10 of 189
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Rough PDEs for Local Stochastic Volatility Models
Bank, Peter; Bayer, Christian; Friz, Peter K.; … - In: Mathematical Finance 35 (2025) 3, pp. 661-681
‐called rough partial differential equations (RPDEs), through a Feynman–Kac type of formula. In terms of European pricing …
Persistent link: https://www.econbiz.de/10015440525
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Rough PDEs for local stochastic volatility models
Bank, Peter; Bayer, Christian; Friz, Peter K.; … - In: Mathematical finance : an international journal of … 35 (2025) 3, pp. 661-681
Persistent link: https://www.econbiz.de/10015460603
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Optimal trading with regime switching : numerical and analytic techniques applied to valuing storage in an electricity balancing market
Johnson, Paul; Szabó, Dávid Zoltán; Duck, Peter - In: European journal of operational research : EJOR 319 (2024) 2, pp. 611-624
Persistent link: https://www.econbiz.de/10015084871
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Analysis of real-time order fulfillment policies : when to dispatch a batch?
Gautam, Natarajan; Geunes, Joseph - In: Service science 16 (2024) 2, pp. 85-106
Persistent link: https://www.econbiz.de/10014564224
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Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
Geiersbach, Caroline; Scarinci, Teresa - In: Computational Optimization and Applications 78 (2021) 3, pp. 705-740
For finite-dimensional problems, stochastic approximation methods have long been used to solve stochastic optimization problems. Their application to infinite-dimensional problems is less understood, particularly for nonconvex objectives. This paper presents convergence results for the...
Persistent link: https://www.econbiz.de/10014501800
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Credit risk pricing in a consumption-based equilibrium framework with incomplete accounting information
Ma, Junchi; Ogunsolu, Mobolaji; Qiu, Jinniao; Sezer, … - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 666-708
Persistent link: https://www.econbiz.de/10014329901
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Equilibria in the large-scale competition for market share in a commodity with resource-buying
Brown, Luke C.; Ambrose, David M. - In: Dynamic games and applications : DGA 15 (2025) 1, pp. 48-73
Persistent link: https://www.econbiz.de/10015329306
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Diffusion on the peer-to-peer network
Riposo, Julien - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-45
In a peer-to-peer complex environment, information is permanently diffused. Such an environment can be modeled as a graph, where there are flows of information. The interest of such modeling is that (1) one can describe the exchanges through time from an initial state of the network, (2) the...
Persistent link: https://www.econbiz.de/10013201351
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Diffusion on the peer-to-peer network
Riposo, Julien - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-45
In a peer-to-peer complex environment, information is permanently diffused. Such an environment can be modeled as a graph, where there are flows of information. The interest of such modeling is that (1) one can describe the exchanges through time from an initial state of the network, (2) the...
Persistent link: https://www.econbiz.de/10012817666
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Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen; Detering, Nils; Galimberti, Luca - In: Finance and stochastics 28 (2024) 1, pp. 81-121
Persistent link: https://www.econbiz.de/10014447586
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