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  • Search: subject:"Regime switching jump-diffusion models"
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Year of publication
Subject
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Forward Starting options 2 Fourier transform methods 2 Markov chain 2 Markov-Kette 2 Option pricing theory 2 Optionspreistheorie 2 Regime switching jump-diffusion models 2 Stochastic process 2 Stochastischer Prozess 2 option pricing 2 stochastic volatility models 2 Fourier Transform Methods 1 Option trading 1 Optionsgeschäft 1 Portfolio selection 1 Portfolio-Management 1 Regime Switching Jump-Diffusion Models 1 Risikomanagement 1 Risikomaß 1 Risk Management 1 Risk management 1 Risk measure 1 Value at Risk 1 Volatility 1 Volatilität 1
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Undetermined 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Ramponi, Alessandro 2 RAMPONI, ALESSANDRO 1
Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of mathematical finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
RAMPONI, ALESSANDRO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250037-1
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in...
Persistent link: https://www.econbiz.de/10010562369
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Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
Ramponi, Alessandro - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10009672605
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