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  • Search: subject:"Taylor expansion"
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Year of publication
Subject
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Taylor expansion 29 Theorie 9 Optionspreistheorie 8 Theory 8 Option pricing theory 7 Stochastic process 6 Stochastischer Prozess 6 Volatility 5 Volatilität 5 Correlation 4 Korrelation 4 credit constraints 4 credit cycles 4 dynamic economies 4 Amplification 3 Basket Options 3 Correlation Risk 3 Derivat 3 Derivative 3 Foreign Exchange Optios 3 Ito-Taylor Expansion 3 Volatility Smile Modelling 3 simulation 3 stochastic Taylor expansion 3 ARCH model 2 ARCH-Modell 2 Black and Scholes 2 Black-Scholes model 2 Black-Scholes-Modell 2 Business cycle 2 Business cycle theory 2 Credit 2 Credit market 2 Credit rationing 2 Estimation theory 2 Hedging 2 Hoeffding decomposition 2 Itô-Taylor expansion 2 Konjunktur 2 Konjunkturtheorie 2
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Online availability
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Undetermined 20 Free 16 CC license 1
Type of publication
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Article 26 Book / Working Paper 15
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Working Paper 7 Arbeitspapier 3 Graue Literatur 2 Non-commercial literature 2
Language
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English 26 Undetermined 15
Author
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Urban, Jörg 4 Hakala, Jürgen 3 Wystup, Uwe 3 Bruti-Liberati, Nicola 2 Karabey, Uǧur 2 Kleinow, Torsten 2 Lombardo, Giovanni 2 Olivares, Pablo 2 Platen, Eckhard 2 Péguin-Feissolle, Anne 2 Sanhaji, Bilel 2 Uhlig, Harald 2 Villamor, Enrique 2 Blavatskyy, Pavlo R. 1 Braverman, Anton 1 Buckdahn, Rainer 1 CHEN, BIN 1 Cairns, Andrew 1 Cairns, Andrew J.G. 1 Carreras, D. Márquez 1 Chang, Fu-Chuen 1 Chen, Nan 1 Cong, Fei 1 Costanza, M. 1 Cui, Zhenyu 1 Cîrnu, Mircea Ion 1 Di Graziano, Giuseppe 1 Ding, Kailin 1 Engsted, Tom 1 GRAZIANO, GIUSEPPE DI 1 Griesse, Roland 1 Guinea Juliá, Álvaro 1 Guo, Wei 1 Gurvich, Itai 1 Hamdy, H. 1 Huang, Junfei 1 Kohatsu, Arturo 1 Li, Shuangshuang 1 Lin, Chang-Ching 1 Lin, Hai-Xiang 1
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Institution
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Department of Economics and Business, Universitat Pompeu Fabra 2 Finance Discipline Group, Business School 2 European Central Bank 1 Frankfurt School of Finance and Management 1 School of Economics and Management, University of Aarhus 1
Published in...
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Annals of the Institute of Statistical Mathematics 2 CPQF Working Paper Series 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 KIT Working Paper Series in Economics 2 Research Paper Series / Finance Discipline Group, Business School 2 Working paper series in economics 2 AMSE Working Papers 1 Annals of Finance 1 Annals of economics and statistics 1 CREATES Research Papers 1 Computational Optimization and Applications 1 Computational economics 1 ECB Working Paper 1 Economic systems research 1 Economics Letters 1 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 International Journal of Financial Studies : open access journal 1 International journal of production research 1 International journal of theoretical and applied finance 1 Journal of Asian economics 1 Journal of econometrics 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Mathematical Population Studies 1 Operations research 1 Quantitative finance 1 Romanian Economic Business Review 1 Stochastic Processes and their Applications 1 The North American journal of economics and finance : a journal of theory and practice 1 The empirical economics letters : a monthly international journal of economics 1 The journal of futures markets 1 Working Paper Series / European Central Bank 1 Working paper series / Centre for Practical Quantitative Finance 1
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Source
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RePEc 19 ECONIS (ZBW) 18 EconStor 4
Showing 1 - 10 of 41
Cover Image
Valuing exchange options under an Ornstein-Uhlenbeck covariance model
Villamor, Enrique; Olivares, Pablo - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-24
In this paper we study the pricing of exchange options between two underlying assets whose dynamic show a stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model, with Levy Background Noise Processes driven by Inverse Gaussian subordinators. We...
Persistent link: https://www.econbiz.de/10014284721
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Cover Image
Credit cycles revisited
Urban, Jörg - 2023
inconsistent, because any higher order term would then be more important, rendering any finite-order Taylor expansion invalid …
Persistent link: https://www.econbiz.de/10014318679
Saved in:
Cover Image
Credit cycles revisited
Urban, Jörg - 2023
inconsistent, because any higher order term would then be more important, rendering any finite-order Taylor expansion invalid …
Persistent link: https://www.econbiz.de/10014321229
Saved in:
Cover Image
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Guinea Juliá, Álvaro; Roux, Alet - In: Quantitative finance 24 (2024) 8, pp. 1057-1076
Persistent link: https://www.econbiz.de/10015196870
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Pricing exchange options under stochastic correlation
Villamor, Enrique; Olivares, Pablo - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014580764
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Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
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Cover Image
Credit cycles revisited
Urban, Jörg - 2020
linearized the model despite higher order terms being more important, rendering the Taylor expansion invalid. Further, we show …
Persistent link: https://www.econbiz.de/10012317250
Saved in:
Cover Image
Credit cycles revisited
Urban, Jörg - 2020
linearized the model despite higher order terms being more important, rendering the Taylor expansion invalid. Further, we show …
Persistent link: https://www.econbiz.de/10012321899
Saved in:
Cover Image
Forecasts for international financial series with VMD algorithms
Guo, Wei; Liu, Qingfu; Luo, Zhidan; Tse, Yiuman - In: Journal of Asian economics 80 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013431356
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Cover Image
The expectations of and covariances between carbon footprints
Rodrigues, João; Yuan, Rong; Lin, Hai-Xiang - In: Economic systems research 32 (2020) 2, pp. 192-201
Persistent link: https://www.econbiz.de/10012199321
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