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  • Search: subject:"gamma process"
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Year of publication
Subject
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non-stationary gamma process 6 Stochastic process 5 Stochastischer Prozess 5 Gamma process 4 Theorie 4 condition-based maintenance 4 degradation modelling 4 imperfect maintenance 4 life-cycle management 4 renewal-type dynamic programming equation 4 Asymptotics 3 Bayesian Nonparametrics 3 Completely random measures 3 Normalized generalized gamma process 3 Option pricing theory 3 Optionspreistheorie 3 Polynomially and exponentially tilted random variables 3 Probability theory 3 Species sampling models 3 Theory 3 Wahrscheinlichkeitsrechnung 3 variance gamma process 3 variance-gamma process 3 Approximation 2 Brownian motion 2 Condition based maintenance 2 Derivat 2 Derivative 2 First hitting time 2 MADM 2 Monte-Carlo simulation 2 Non-stationary gamma process 2 Random matrices 2 Random threshold 2 Variance Gamma process 2 Variance-Gamma process 2 Volatility 2 Volatilität 2 Wishart distribution 2 approximation 2
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Online availability
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Free 34 CC license 2
Type of publication
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Book / Working Paper 23 Article 10 Other 1
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 5 Arbeitspapier 2 Article 2 Graue Literatur 2 Non-commercial literature 2 Congress Report 1
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Language
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Undetermined 17 English 16 Spanish 1
Author
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Nicolai, R.P. 10 Frenk, Frenk, J.B.G. 4 Frenk, J.B.G. 4 Dekker, R. 3 Dekker, Rommert 3 Favaro, Stefano 3 Lijoi, Antonio 3 Barros, Anne 2 Berenguer, Christophe 2 Castro, Inma 2 Heidergott, Bernd 2 Huynh, Khac Tuan 2 Ivanov, Roman V. 2 Karageyik, Başak Bulut 2 Kozubowski, Tomasz J. 2 Mazur, Stepan 2 Podgórski, Krzysztof 2 Prunster, Igor 2 Volk-Makarewicz, Warren 2 Şahin, Şule 2 Ballota, Laura 1 Darolles, Serge 1 Deelstra, Griselda 1 Figueroa-Lopez, Enrique 1 Fiorani, Filo 1 Gagliardini, Patrick 1 Gouriéroux, Christian 1 Gu, YuanTong 1 Houdré, Christian 1 Jevtic, Petar 1 Leung, Tim 1 Lu, Kevin W. 1 Ma, Lin 1 Moreno-Okuno, Alejandro Tatsuo 1 Mosiño, Alejandro 1 Nieto-Barajas, LE 1 Noortwijk, J.M. van 1 Prünster, Igor 1 Rayée, Grégory 1 Salomón-Núñez, Laura Andrea 1
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Institution
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Erasmus University Rotterdam, Econometric Institute 3 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 2 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 2 HAL 2 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Econometric Institute Report 3 Econometric Institute Research Papers 3 ERIM Report Series Research in Management 2 Post-Print / HAL 2 Quaderni di Dipartimento 2 Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 2 Risks : open access journal 2 Applied mathematical finance 1 Carlo Alberto Notebooks 1 Czech Journal of Economics and Finance (Finance a uver) 1 ECARES working paper 1 EconoQuantum : Revista de Economía y Negocios 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 MPRA Paper 1 Quaderni del Dipartimento 1 Risks 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Paper 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Working paper 1
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Source
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RePEc 18 ECONIS (ZBW) 8 EconStor 5 BASE 3
Showing 1 - 10 of 34
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Stochastic modeling of wind derivatives with application to the Alberta energy market
Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26
Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of...
Persistent link: https://www.econbiz.de/10014497409
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Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230
Persistent link: https://www.econbiz.de/10015051244
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Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
symmetrization, leads to a new matrix-variate gamma process. This process when taken at a properly defined one-dimensional argument …
Persistent link: https://www.econbiz.de/10014331150
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …
Persistent link: https://www.econbiz.de/10013201326
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …
Persistent link: https://www.econbiz.de/10012813564
Saved in:
Cover Image
Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
symmetrization, leads to a new matrix-variate gamma process. This process when taken at a properly defined one-dimensional argument …
Persistent link: https://www.econbiz.de/10013469607
Saved in:
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Estudio empírico sobre el tipo de cambio mxn/usd : movimiento browniano geométrico versus proceso varianza-gamma
Mosiño, Alejandro; Salomón-Núñez, Laura Andrea; … - In: EconoQuantum : Revista de Economía y Negocios 16 (2019) 1, pp. 33-56
Persistent link: https://www.econbiz.de/10012210445
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Optimal retention level for infinite time horizons under MADM
Karageyik, Başak Bulut; Şahin, Şule - In: Risks 5 (2017) 1, pp. 1-24
In this paper, we approximate the aggregate claims process by using the translated gamma process under the classical …
Persistent link: https://www.econbiz.de/10011709584
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Optimal retention level for infinite time horizons under MADM
Karageyik, Başak Bulut; Şahin, Şule - In: Risks : open access journal 5 (2017) 1, pp. 1-24
In this paper, we approximate the aggregate claims process by using the translated gamma process under the classical …
Persistent link: https://www.econbiz.de/10011636516
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Quanto implied correlation in a multi-lévy framework
Ballota, Laura; Deelstra, Griselda; Rayée, Grégory - 2015
Persistent link: https://www.econbiz.de/10011628452
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