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Search: subject:"Wiener-Hopf factorization"
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Wiener-Hopf factorization
27
Option pricing theory
18
Optionspreistheorie
18
Lévy processes
14
Stochastic process
13
Stochastischer Prozess
13
Option trading
10
Optionsgeschäft
10
Wiener–Hopf factorization
8
barrier options
8
Credit risk
6
Laplace inversion
6
Option pricing
6
Carr's randomization
5
Fourier transform
5
Kreditrisiko
4
Laplace transform
4
Lévy process
4
Markov chain
4
Markov-Kette
4
conformal deformations
4
credit default swaps
4
parabolic inverse Laplace transform
4
CGMY model
3
Credit derivative
3
KoBoL processes
3
Kreditderivat
3
Normal Inverse Gaussian processes
3
Regime switching
3
Structural model
3
Variance Gamma processes
3
first-touch digitals
3
lookback option
3
parabolic inverse Fourier transform
3
stochastic interest rate
3
Annuity puzzle
2
Barrier options
2
Canadization
2
Cointegration
2
Concave majorant
2
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Undetermined
23
Free
6
Type of publication
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Article
35
Book / Working Paper
6
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Article in journal
19
Aufsatz in Zeitschrift
19
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Article
1
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English
24
Undetermined
17
Author
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Levendorskij, Sergej Z.
5
Hainaut, Donatien
4
Kudryavtsev, Oleg
4
LEVENDORSKIĬ, SERGEI
4
BOYARCHENKO, MITYA
3
Bojarčenko, Svetlana I.
3
Asmussen, Søren
2
BOYARCHENKO, SVETLANA
2
Boyarchenko, Mitya
2
Deelstra, Griselda
2
Gruntjes, Paul
2
Iseger, Peter
2
Jiang, Zhengjun
2
Laub, Patrick J.
2
Le Courtois, Olivier
2
Mandjes, Michel
2
Sadoon, Majid M. al-
2
Su, Xiaoshan
2
Yang, Hailiang
2
Boxma, Onno
1
Boyarchenko, Svetlana
1
Fourati, Sonia
1
Fusai, Gianluca
1
Germano, Guido
1
Hieber, Peter
1
INNOCENTIS, MARCO DE
1
Innocentis, Marco de
1
Ivanos, Jevgenijs
1
JEANNIN, MARC
1
Kargin, Vladislav
1
Kawanishi, Yasuhiro
1
Kuznetsov, A.
1
Kyprianou, A.
1
Lee, Sangjun
1
Levendorskiǐ, Sergei
1
Levendorskiǐ, Sergei
1
Li, Yuan
1
Marazzina, Daniele
1
PISTORIUS, MARTIJN
1
Peng, X.
1
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EconWPA
2
HAL
1
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International Journal of Theoretical and Applied Finance (IJTAF)
6
International journal of theoretical and applied finance
5
Finance and Stochastics
3
Finance and stochastics
2
Insurance / Mathematics & economics
2
Journal of economic dynamics & control
2
Stochastic Processes and their Applications
2
Asia Pacific financial markets
1
Asia-Pacific financial markets
1
Barcelona GSE working paper series : working paper
1
CARF working paper
1
Computational Statistics
1
Computational management science
1
Decisions in economics and finance : a journal of applied mathematics
1
European journal of operational research : EJOR
1
Finance
1
Insurance: Mathematics and Economics
1
Journal of Economic Dynamics and Control
1
Macroeconomics
1
Mathematical Methods of Operations Research
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Review of derivatives research
1
Risks
1
Risks : open access journal
1
Working Papers / HAL
1
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
1
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ECONIS (ZBW)
22
RePEc
18
EconStor
1
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1
Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
2
A simplified
Wiener-Hopf
factorization
method for pricing double barrier options under Lévy processes
Kudryavtsev, Oleg
- In:
Computational management science
21
(
2024
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014636822
Saved in:
3
Phase-type models in life insurance: Fitting and valuation of equity-linked benefits
Asmussen, Søren
;
Laub, Patrick J.
;
Yang, Hailiang
- In:
Risks
7
(
2019
)
1
,
pp. 1-22
closely related to the
Wiener-Hopf
factorization
, for which recently, a Lévy process version has been developed for a PH …
Persistent link: https://www.econbiz.de/10013200435
Saved in:
4
Phase-type models in life insurance : fitting and valuation of equity-linked benefits
Asmussen, Søren
;
Laub, Patrick J.
;
Yang, Hailiang
- In:
Risks : open access journal
7
(
2019
)
1/17
,
pp. 1-22
closely related to the
Wiener-Hopf
factorization
, for which recently, a Lévy process version has been developed for a PH …
Persistent link: https://www.econbiz.de/10012016031
Saved in:
5
Adaptation to climate change : extreme events versus gradual changes
Lee, Sangjun
;
Zhao, Jinhua
- In:
Journal of economic dynamics & control
133
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014535768
Saved in:
6
The linear systems approach to linear rational expectations models
Sadoon, Majid M. al-
-
2016
Persistent link: https://www.econbiz.de/10011442545
Saved in:
7
The linear systems approach to linear rational expectations models
Sadoon, Majid M. al-
-
2016
-
This version November 2016
Persistent link: https://www.econbiz.de/10011590194
Saved in:
8
Pricing and hedging defaultable participating contracts with regime switching and jump risk
Le Courtois, Olivier
;
Quittard-Pinon, François
;
Su, …
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 303-339
Persistent link: https://www.econbiz.de/10012285401
Saved in:
9
Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier
;
Su, Xiaoshan
- In:
Asia Pacific financial markets
27
(
2020
)
4
,
pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
Saved in:
10
Pricing exotic options in a regime switching economy : a Fourier transform method
Hieber, Peter
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10012055739
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