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Search: subject:"f-divergence"
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f-divergence
11
Entropie
2
Entropy
2
F-divergence
2
Initial enlargement
2
Mathematical programming
2
Mathematische Optimierung
2
Option pricing theory
2
Optionspreistheorie
2
Robust statistics
2
Robustes Verfahren
2
additional information
2
conditional measures
2
convex conjugate function
2
dual function
2
enlargement of filtrations
2
equivalent martingale measures
2
incomplete market
2
minimal martingale measures
2
model risk
2
pricing
2
progressive enlargement
2
robustness
2
utility maximisation
2
Agency theory
1
Ambiguity
1
Axiomatic approach
1
Bank risk
1
Bankrisiko
1
Bayesian decision problem
1
Bregman distance
1
CAPM
1
Contract theory
1
Data protection
1
Datenschutz
1
Debt contract
1
Decision under uncertainty
1
Decomposition
1
EU countries
1
EU membership
1
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Undetermined
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Free
3
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Article
12
Book / Working Paper
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Article in journal
8
Aufsatz in Zeitschrift
8
Working Paper
1
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English
10
Undetermined
4
Author
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Ankirchner, Stefan
2
Kruse, Thomas
2
Schneider, Judith Christiane
2
Alem, Douglas
1
Breuer, Thomas
1
Caunhye, Aakil M.
1
Csiszár, Imre
1
Freedman, Gail Gilboa
1
JEANBLANC, MONIQUE
1
Jeanblanc, Monique
1
LENIEC, MARTA
1
Leniec, Marta
1
Mattsson, Lars-Göran
1
Mussmann, Dieter
1
Peraita‑Ezcurra, Olivia
1
Saigusa, Yusuke
1
Schweizer, Nicolaus
1
Schweizer, Nikolaus
1
Smorodinsky, Rann
1
Tahata, Kouji
1
Tomizawa, Sadao
1
Vilar Zanón, José Luis
1
Vos, Paul
1
Weibull, Jörgen W.
1
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
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Annals of the Institute of Statistical Mathematics
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Games and economic behavior
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical social sciences
1
OR spectrum : quantitative approaches in management
1
Operations research
1
SFB 649 Discussion Paper
1
SFB 649 Discussion Papers
1
Statistics & Probability Letters
1
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ECONIS (ZBW)
8
RePEc
5
EconStor
1
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1
Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning
Caunhye, Aakil M.
;
Alem, Douglas
- In:
OR spectrum : quantitative approaches in management
45
(
2023
)
3
,
pp. 759-806
Persistent link: https://www.econbiz.de/10014328547
Saved in:
2
An analytically solvable principal-agent model
Mattsson, Lars-Göran
;
Weibull, Jörgen W.
- In:
Games and economic behavior
140
(
2023
),
pp. 33-49
Persistent link: https://www.econbiz.de/10014323341
Saved in:
3
A toolkit for robust risk assessment using F-divergences
Kruse, Thomas
;
Schneider, Judith Christiane
;
Schweizer, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
10
,
pp. 6529-6552
Persistent link: https://www.econbiz.de/10012666706
Saved in:
4
On the properties that characterize privacy
Freedman, Gail Gilboa
;
Smorodinsky, Rann
- In:
Mathematical social sciences
103
(
2020
),
pp. 59-68
Persistent link: https://www.econbiz.de/10012253675
Saved in:
5
The joint impact of F-divergences and reference models on the contents of uncertainty sets
Kruse, Thomas
;
Schneider, Judith Christiane
;
Schweizer, …
- In:
Operations research
67
(
2019
)
2
,
pp. 428-435
Persistent link: https://www.econbiz.de/10012022370
Saved in:
6
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Vilar Zanón, José Luis
;
Peraita‑Ezcurra, Olivia
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 259-276
Persistent link: https://www.econbiz.de/10012065216
Saved in:
7
Measuring distribution model risk
Breuer, Thomas
;
Csiszár, Imre
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 395-411
Persistent link: https://www.econbiz.de/10011577166
Saved in:
8
ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS
JEANBLANC, MONIQUE
;
LENIEC, MARTA
- In:
International Journal of Theoretical and Applied …
18
(
2015
)
01
,
pp. 1550007-1
equivalent martingale measures in three cases and, when needed, we choose one of them using
f-divergence
approach. …
Persistent link: https://www.econbiz.de/10011279132
Saved in:
9
Orthogonal decomposition of symmetry model using the ordinal quasi-symmetry model based on
f-divergence
for square contingency tables
Saigusa, Yusuke
;
Tahata, Kouji
;
Tomizawa, Sadao
- In:
Statistics & Probability Letters
101
(
2015
)
C
,
pp. 33-37
) considered the ordinal quasi-symmetry (OQS[f]) model based on
f-divergence
. The present paper gives a decomposition of the …
Persistent link: https://www.econbiz.de/10011263169
Saved in:
10
Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique
;
Leniec, Marta
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
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