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  • Search: subject:"eigenfunction"
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Year of publication
Subject
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Stochastic process 18 Stochastischer Prozess 18 Option pricing theory 17 Optionspreistheorie 17 Volatility 9 Volatilität 9 Option trading 8 Optionsgeschäft 8 CAPM 7 Theorie 7 Theory 7 Derivat 6 Derivative 6 Eigenfunction expansions 6 Discounting 5 Diskontierung 5 eigenfunction expansion 5 Black-Scholes model 4 Black-Scholes-Modell 4 Yield curve 4 Zinsstruktur 4 eigenfunction 4 spatial autocorrelation 4 Autocorrelation 3 Autokorrelation 3 Laplace operator 3 Moran'index 3 Moran's Eigenvector Maps 3 Optimal stopping 3 Option pricing 3 Regional economics 3 Regionalökonomik 3 Räumliche Interaktion 3 Spatial interaction 3 duality diagram 3 eigenfunction stochastic volatility models 3 integrated volatility 3 realized volatility 3 spatial eigenfunction filtering 3 Anleihe 2
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Online availability
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Undetermined 22 Free 8 CC license 1
Type of publication
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Article 31 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 27 Undetermined 8 French 1
Author
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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 Margaretic, Paula 1 Mendoza-Arriaga, Rafael 1 SCHOUTENS, WIM 1 Song, Shiyu 1 Sørensen, Michael 1 Thomas-Agnan, Christine 1 Wang, Yongjin 1 Zhang, Gongqiu 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Département de Sciences Économiques, Université de Montréal 1 School of Economics and Management, University of Aarhus 1
Published in...
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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 Cahiers de recherche 1 Charles A. Dice Center Working Paper 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 Quantitative finance and economics 1 Research in international business and finance 1 Review of derivatives research 1 Statistics & Probability Letters 1
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Source
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ECONIS (ZBW) 24 RePEc 11 EconStor 1
Showing 11 - 20 of 36
Cover Image
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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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