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Search: subject:"eigenfunction"
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Stochastic process
18
Stochastischer Prozess
18
Option pricing theory
17
Optionspreistheorie
17
Volatility
9
Volatilität
9
Option trading
8
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8
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7
Theorie
7
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7
Derivat
6
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6
Eigenfunction expansions
6
Discounting
5
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5
eigenfunction expansion
5
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4
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4
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4
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4
eigenfunction
4
spatial autocorrelation
4
Autocorrelation
3
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3
Laplace operator
3
Moran'index
3
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3
Optimal stopping
3
Option pricing
3
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3
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3
Räumliche Interaktion
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duality diagram
3
eigenfunction stochastic volatility models
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integrated volatility
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realized volatility
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spatial eigenfunction filtering
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22
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8
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Li, Lingfei
6
Linetsky, Vadim
6
Liu, Allen
6
Tong, Kevin Z.
4
Tong, Zhigang
4
Bakshi, Gurdip S.
3
Chabi-Yo, Fousseni
3
Aubigny, Gérard d'
2
Lim, Dongjae
2
Meddahi, Nour
2
Qin, Likuan
2
Andersen, Torben G.
1
Bakshi, Gurdip
1
Bollerslev, Tim
1
Boubaker, Sabri
1
Bracher, Christian
1
Chaker, Selma
1
DECAMPS, MARC
1
Doucet, Romain
1
Ertas, Kadir
1
Forman, Julie Lyng
1
Fousseni, Chabi-Yo
1
GOOVAERTS, MARC
1
Griffith, Daniel A.
1
Guan, Jianhua
1
Hou, Dongping
1
Keser, Istem Koymen
1
Li, Bo
1
Li, Jing
1
Liu, Zhenya
1
Lorig, Matthew
1
MEDDAHI, Nour
1
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1
Mendoza-Arriaga, Rafael
1
SCHOUTENS, WIM
1
Song, Shiyu
1
Sørensen, Michael
1
Thomas-Agnan, Christine
1
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1
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1
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
2
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1
School of Economics and Management, University of Aarhus
1
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International journal of financial engineering
3
CIRANO Working Papers
2
Comparative economic research : Central and Eastern Europe
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
CREATES Research Papers
1
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1
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1
Comparative Economic Research. Central and Eastern Europe
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Finance and stochastics
1
Fisher College of Business working paper series
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of bonds and derivatives
1
Istanbul University Econometrics and Statistics e-Journal
1
Journal of Economic Dynamics and Control
1
Journal of Financial Economics
1
Journal of Geographical Systems
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial economics
1
Journal of management science and engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
1
Operations research letters
1
Papers in regional science : the journal of the Regional Science Association International
1
Physica A: Statistical Mechanics and its Applications
1
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1
Research in international business and finance
1
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1
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ECONIS (ZBW)
24
RePEc
11
EconStor
1
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11
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20
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36
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11
A nonlinear diffusion model for electricity prices and derivatives
Tong, Zhigang
;
Liu, Allen
- In:
International journal of bonds and derivatives
3
(
2017
)
4
,
pp. 290-319
Persistent link: https://www.econbiz.de/10011877179
Saved in:
12
Long-term factorization of affine pricing kernels
Qin, Likuan
;
Linetsky, Vadim
- In:
Mathematics and financial economics
11
(
2017
)
4
,
pp. 479-498
Persistent link: https://www.econbiz.de/10011900582
Saved in:
13
Spatial dependence in (origin-destination) air passenger flows
Margaretic, Paula
;
Thomas-Agnan, Christine
;
Doucet, Romain
- In:
Papers in regional science : the journal of the …
96
(
2017
)
2
,
pp. 357-380
Persistent link: https://www.econbiz.de/10011721332
Saved in:
14
Long-term risk : a martingale approach
Qin, Likuan
;
Linetsky, Vadim
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 299-312
Persistent link: https://www.econbiz.de/10011738495
Saved in:
15
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
16
Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change
Tong, Zhigang
;
Liu, Allen
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011778268
Saved in:
17
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang
;
Liu, Allen
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
Saved in:
18
Pricing double barrier options under a volatility regime-switching model with psychological barriers
Song, Shiyu
;
Wang, Yongjin
- In:
Review of derivatives research
20
(
2017
)
3
,
pp. 255-280
Persistent link: https://www.econbiz.de/10011936003
Saved in:
19
A statistical toolbox for mining and modeling spatial data
Aubigny, Gérard d'
- In:
Comparative economic research : Central and Eastern Europe
19
(
2016
)
5
,
pp. 5-24
Persistent link: https://www.econbiz.de/10011631441
Saved in:
20
Discretely monitored first passage problems and barrier options : an
eigenfunction
expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
Saved in:
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