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Search: subject:"diffusion limits"
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diffusion limits
7
Queueing theory
5
Stochastic process
5
Stochastischer Prozess
5
Warteschlangentheorie
5
ARCH model
3
ARCH-Modell
3
Diffusion limits
3
Markov chain
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Markov-Kette
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many-server queues
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Estimation theory
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Halfin-Whitt regime
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Schätztheorie
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Swap
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Theorie
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Variance swaps
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Weak diffusion limits
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fluid and diffusion limits
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square-root staffing
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Analysis of variance
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CBOE VIX
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CCC
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Concurrent service capabilities
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Consumer behaviour
1
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Customer abandonments
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Extended Girsanov principle
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Fluid and diffusion limits
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GARCH
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GARCH diffusion
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Gaussian processes
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General error distribution
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Gerechtigkeit
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English
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Pender, Jamol
3
Cui, Zhenyu
2
Hafner, Christian M.
2
Ko, Young Myoung
2
Violante, Francesco
2
Andrikopoulos, Alexandru
1
Atar, Rami
1
Badescu, Alexandru
1
Bekker, René
1
Berkelmans, Wouter
1
Borst, Sem
1
Borst, Sem C.
1
Buccheri, Giuseppe
1
Büke, Burak
1
Chen, Yuyu
1
Corsi, Fulvio
1
Couch, Matthew
1
Flandoli, Franco
1
Goldsztajn, Diego
1
Keslassy, Isaac
1
Laurent, Sebastien
1
Laurent, Sébastien
1
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Mendelson, Gal
1
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Ortega, Juan-Pablo
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Perry, Ohad
1
Qin, Wenyi
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Rand, Richard
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Reed, Josh
1
Shaki, Yair
1
Storm, Jaap
1
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Wesson, Elizabeth
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1
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School of Economics and Management, University of Aarhus
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Mathematics of operations research
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Application of operations research to financial markets
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1
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INFORMS journal on computing : JOC
1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
14
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11
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
12
Variance swaps valuation under non-affine GARCH models and their
diffusion
limits
Badescu, Alexandru
;
Chen, Yuyu
;
Couch, Matthew
;
Cui, Zhenyu
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
Saved in:
13
Approximations for the queue length distributions of time-varying many-server queues
Pender, Jamol
;
Ko, Young Myoung
- In:
INFORMS journal on computing : JOC
29
(
2017
)
4
,
pp. 688-704
Persistent link: https://www.econbiz.de/10011772449
Saved in:
14
Diffusion
limits
for the (MAPt/Pht/∞)N queueing network
Ko, Young Myoung
;
Pender, Jamol
- In:
Operations research letters
45
(
2017
)
3
,
pp. 248-253
Persistent link: https://www.econbiz.de/10011719323
Saved in:
15
A fair policy for the G/GI/N queue with multiple server pools
Reed, Josh
;
Shaki, Yair
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 558-595
Persistent link: https://www.econbiz.de/10011338701
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