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  • Search: subject:"Stochastischer Prozess"
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Year of publication
Subject
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Stochastischer Prozess 19,608 Stochastic process 19,100 Theorie 10,743 Theory 10,504 Volatilität 4,184 Volatility 4,118 Optionspreistheorie 3,759 Option pricing theory 3,707 Mathematische Optimierung 2,665 Mathematical programming 2,652 Portfolio-Management 1,890 Portfolio selection 1,881 Zeitreihenanalyse 1,802 Time series analysis 1,744 Schätztheorie 1,686 Estimation theory 1,666 Schätzung 1,543 Estimation 1,504 Markov-Kette 1,358 Markov chain 1,356 Risiko 1,244 Risk 1,233 Optionsgeschäft 892 Option trading 890 Monte-Carlo-Simulation 873 Monte Carlo simulation 872 Statistische Verteilung 856 Statistical distribution 843 Börsenkurs 840 Dynamische Optimierung 835 Simulation 833 CAPM 826 Dynamic programming 824 Derivat 821 Derivative 819 Prognoseverfahren 819 Share price 809 Forecasting model 800 Wahrscheinlichkeitsrechnung 704 Probability theory 690
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Online availability
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Free 6,511 Undetermined 5,965 CC license 327
Type of publication
All
Article 11,678 Book / Working Paper 8,010 Journal 9
Type of publication (narrower categories)
All
Article in journal 10,797 Aufsatz in Zeitschrift 10,797 Working Paper 3,306 Graue Literatur 3,067 Non-commercial literature 3,067 Arbeitspapier 2,996 Aufsatz im Buch 740 Book section 740 Hochschulschrift 473 Thesis 350 Lehrbuch 129 Textbook 117 Collection of articles of several authors 96 Sammelwerk 96 Conference paper 93 Konferenzbeitrag 93 Aufsatzsammlung 63 Collection of articles written by one author 62 Sammlung 62 Konferenzschrift 56 Bibliografie enthalten 41 Bibliography included 41 Forschungsbericht 41 Amtsdruckschrift 28 Dissertation u.a. Prüfungsschriften 28 Government document 28 Conference proceedings 23 Systematic review 16 Übersichtsarbeit 16 Einführung 15 Festschrift 13 Article 11 Mikroform 10 Case study 9 Fallstudie 9 Reprint 8 Glossar enthalten 7 Glossary included 7 Handbook 6 Handbuch 6
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Language
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English 19,210 German 398 Undetermined 47 French 24 Polish 10 Russian 5 Spanish 5 Italian 3 Swedish 2 Finnish 1 Ancient Greek (to 1453) 1 Portuguese 1 Romanian 1
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Author
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McAleer, Michael 99 Koopman, Siem Jan 82 Phillips, Peter C. B. 79 Sethi, Suresh 64 Ferrari, Giorgio 61 Chiarella, Carl 59 Platen, Eckhard 57 Cui, Zhenyu 51 Madan, Dilip B. 51 Takahashi, Akihiko 51 Benth, Fred Espen 50 Post, Thierry 50 Chan, Joshua 46 Escudero, Laureano F. 45 Barndorff-Nielsen, Ole E. 44 Asai, Manabu 43 Linton, Oliver 43 Yu, Jun 43 Fabozzi, Frank J. 40 Shephard, Neil G. 40 Wong, Wing Keung 39 Stein, Jerome L. 38 Elliott, Robert J. 36 Gao, Jiti 36 Todorov, Viktor 36 Escobar, Marcos 35 Gil-Alaña, Luis A. 35 Hainaut, Donatien 35 Härdle, Wolfgang 35 Zhang, Qing 35 Gendreau, Michel 34 Tsionas, Efthymios G. 34 Wong, Hoi Ying 33 Račev, Svetlozar T. 32 Kohlmann, Michael 31 Kleijnen, Jack P. C. 30 Lucas, André 30 Siu, Tak Kuen 30 Whang, Yoon-jae 30 Carr, Peter 29
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Institution
All
National Bureau of Economic Research 74 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 63 Centre for Analytical Finance <Århus> 17 Springer Fachmedien Wiesbaden 9 Econometrisch Instituut <Rotterdam> 6 Erasmus Research Institute of Management 6 Queen Mary College / Department of Economics 5 Aarhus Universitet / Afdeling for Nationaløkonomi 4 Ekonomiska forskningsinstitutet <Stockholm> 4 Institutionen för Skogsekonomi <Umeå> 4 Judge Institute of Management Studies 4 Nuffield College 4 University of Exeter / Department of Economics 4 Australian National University / Faculty of Economics and Commerce 3 Centre for Actuarial Studies 3 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 3 European University Institute / Department of Economics 3 Springer-Verlag GmbH 3 University of Chicago / Graduate School of Business 3 University of Essex / Department of Economics 3 Walter de Gruyter GmbH & Co. KG 3 Weierstraß-Institut für Angewandte Analysis und Stochastik 3 Bonn Graduate School of Economics 2 Books on Demand GmbH <Norderstedt> 2 Center for Economic Research <Tilburg> 2 Centre for Economic Policy Research 2 Chambre de commerce et d'industrie de Paris 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 European University Institute / Department of Law 2 Federal Reserve System / Division of Research and Statistics 2 HWWA-Institut für Wirtschaftsforschung 2 International Center for Financial Asset Management and Engineering 2 Kansantaloustieteen Laitos <Helsinki> 2 Meeting on Stochastic Programming <1979, Oberwolfach> 2 School of Economics and Finance <Brisbane> 2 Social Systems Research Institute 2 Springer International Publishing 2 Trinity College Dublin / Department of Economics 2 Umeå Universitet / Institutionen för Nationalekonomi 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2
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Published in...
All
European journal of operational research : EJOR 733 International journal of theoretical and applied finance 360 Insurance / Mathematics & economics 336 Journal of econometrics 282 Finance and stochastics 245 Operations research 215 Quantitative finance 210 Mathematics of operations research 207 Operations research letters 196 Computers & operations research : and their applications to problems of world concern ; an international journal 194 International journal of production research 189 Journal of economic dynamics & control 153 Risks : open access journal 153 Applied mathematical finance 143 Discussion paper / Tinbergen Institute 142 Computational economics 139 International journal of production economics 130 Economics letters 127 The journal of computational finance 124 Mathematical finance : an international journal of mathematics, statistics and financial theory 122 Finance research letters 108 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 108 Management science : journal of the Institute for Operations Research and the Management Sciences 107 Journal of mathematical finance 105 Econometric reviews 98 Energy economics 93 Mathematical methods of operations research 92 International journal of financial engineering 90 Omega : the international journal of management science 89 INFORMS journal on computing : JOC 87 Annals of finance 82 Transportation science : a journal of the Institute for Operations Research and the Management Sciences 81 Annals of operations research 80 Economic modelling 80 Working paper 80 Journal of banking & finance 79 Journal of economic theory 78 Computational Management Science : CMS 76 Transportation research / E : an international journal 75 Scandinavian actuarial journal 73
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Source
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ECONIS (ZBW) 19,231 EconStor 322 USB Cologne (EcoSocSci) 139 USB Cologne (business full texts) 2 OLC EcoSci 2 BASE 1
Showing 1 - 10 of 19,697
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de/10015191535
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Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications
Aleksian, Ashot; Villeneuve, Stéphane - 2025
Persistent link: https://www.econbiz.de/10015192337
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
Persistent link: https://www.econbiz.de/10015193830
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Sparse spanning portfolios and under-diversification with second-order stochastic dominance
Arvanitis, Stelios - 2025
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear...
Persistent link: https://www.econbiz.de/10015194210
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Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics
Arvanitis, Stelios - 2025
The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...
Persistent link: https://www.econbiz.de/10015194229
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A sample average approximation-based heuristic for the stochastic production routing problem
In: Central European journal of operations research 33 (2025) 1, pp. 121-144
Persistent link: https://www.econbiz.de/10015195688
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Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis
Drakonakis, Emmanouil; Kotsios, Stelios - In: Computational economics 65 (2025) 1, pp. 463-481
Persistent link: https://www.econbiz.de/10015195774
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Artificial intelligence asset pricing models
Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2025 - This version: December 2024
Persistent link: https://www.econbiz.de/10015196776
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Stochastic sequential screening
Li, Hao; Shi, Xianwen - 2025
Persistent link: https://www.econbiz.de/10015179485
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A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas; Mörke, Mathis; Weigert, Florian; … - 2025 - This version: April 23, 2024
We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...
Persistent link: https://www.econbiz.de/10015204018
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