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Search: subject:"lévy process"
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Levy process
58
Lévy process
53
Stochastischer Prozess
34
Option pricing theory
33
Optionspreistheorie
33
Stochastic process
31
Levy-Prozess
26
Theorie
17
Theory
14
Stochastic volatility
10
Volatility
10
stochastic volatility
10
Portfolio selection
8
Portfolio-Management
8
Volatilität
8
option pricing
8
Credit derivative
7
Kreditderivat
7
Option trading
7
Optionsgeschäft
7
Risiko
7
spectrally negative Lévy process
7
Econometrics
6
Risikomodell
6
Risk
6
Risk model
6
Statistical distribution
6
Statistische Verteilung
6
duration analysis
6
mixture
6
Ausreißer
5
Financial crisis
5
Finanzkrise
5
Index derivative
5
Indexderivat
5
OU process
5
Option pricing
5
Ornstein-Uhlenbeck process
5
Outliers
5
Risikoprämie
5
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Free
136
CC license
7
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Book / Working Paper
96
Article
39
Other
1
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Working Paper
30
Graue Literatur
24
Non-commercial literature
24
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22
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22
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18
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14
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8
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2
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English
100
Undetermined
35
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1
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Barndorff-Nielsen, Ole E.
10
Shephard, Neil
10
Chen, Yu-Fu
6
Funke, Michael
6
Zhou, Xiaowen
6
Abbring, Jaap H.
5
Seo, Sang Byung
5
Aguilar, Jean-Philippe
4
Kim, Young Shin
4
Korbel, Jan
4
Wachter, Jessica
4
Campbell, John Y.
3
Ferrari, Giorgio
3
Haug, Stephan
3
Martin, Ian
3
Mittnik, Stefan
3
Salminen, Paavo
3
Wang, Wenyuan
3
Al-Hadad, Jonas
2
Bäuerle, Nicole
2
Cecchetti, Sara
2
Chernozhukov, Victor
2
Chetverikov, Denis
2
Cont, Rama
2
Czado, Claudia
2
Denk, Robert
2
Djurić, Petar M.
2
Dong, Chaohua
2
Endres, Sylvia
2
Fink, Holger Maria
2
Gao, Jiti
2
Glimm, James
2
Gonon, Lukas
2
Hainaut, Donatien
2
Holden, Helge
2
Holden, Lars
2
Holden, Steinar
2
Kappus, Johanna
2
Kato, Kengo
2
Kirkby, Justin Lars
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
9
Department of Economics, Oxford University
6
Economics Group, Nuffield College, University of Oxford
4
National Bureau of Economic Research
3
Department of Econometrics and Business Statistics, Monash Business School
2
Department of Economics Studies, University of Dundee
2
HAL
2
Judge Institute of Management Studies
2
CESifo
1
Christian-Albrechts-Universität zu Kiel
1
Departamento de Estadistica, Universidad Carlos III de Madrid
1
Department of Economics, Florida International University
1
Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento
1
Duke University, Department of Economics
1
Finance Discipline Group, Business School
1
Henley Business School, University of Reading
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre
1
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
London School of Economics (LSE)
1
School of Economics and Management, University of Aarhus
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Tilburg University, Center for Economic Research
1
Tinbergen Institute
1
Tinbergen Instituut
1
Toulouse School of Economics (TSE)
1
University of Bonn, Germany
1
Université Paris-Dauphine (Paris IX)
1
Økonomisk institutt, Universitetet i Oslo
1
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MPRA Paper
9
Risks
9
Risks : open access journal
7
Economics Series Working Papers / Department of Economics, Oxford University
6
Journal of Risk and Financial Management
5
Journal of risk and financial management : JRFM
5
Discussion Paper
4
Economics Papers / Economics Group, Nuffield College, University of Oxford
4
Scandinavian actuarial journal
4
Bonn Econ Discussion Papers
2
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Center for Mathematical Economics Working Papers
2
Dundee Discussion Papers in Economics
2
ECON PhD dissertations
2
Monash Econometrics and Business Statistics Working Papers
2
NBER working paper series
2
Tinbergen Institute Discussion Papers
2
Working Papers / HAL
2
Working paper series
2
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
2
Annals of Economics and Finance
1
Applied mathematical finance
1
Bank of Italy Temi di Discussione (Working Paper)
1
CARF working paper
1
CESifo Working Paper
1
CESifo Working Paper Series
1
CREATES Research Papers
1
Decisions in economics and finance : a journal of applied mathematics
1
Discussion Paper / Tilburg University, Center for Economic Research
1
Discussion paper / LSE Financial Markets Group
1
Discussion paper / Tinbergen Institute
1
Discussion paper series / Research Institute for Economics and Business Administration, Kobe University
1
Dundee discussion papers in economics
1
Economics Papers from University Paris Dauphine
1
FAU Discussion Papers in Economics
1
FAU discussion papers in economics
1
Finance and Stochastics
1
Finance and stochastics
1
HSC Research Reports
1
ICMA Centre Discussion Papers in Finance
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ECONIS (ZBW)
57
RePEc
48
EconStor
26
BASE
5
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1
An excursion theoretic approach to Parisian ruin problem
Li, Bo
;
Zhou, Xiaowen
- In:
Insurance : mathematics and economics
118
(
2024
),
pp. 44-58
Persistent link: https://www.econbiz.de/10015066997
Saved in:
2
Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
Kreveld, Lucas van
;
Mandjes, Michel
;
Dorsman, Jan-Pieter
- In:
Scandinavian actuarial journal
2024
(
2024
)
6
,
pp. 561-582
Persistent link: https://www.econbiz.de/10015052470
Saved in:
3
Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire
- In:
Journal of Risk and Financial Management
16
(
2023
)
1
,
pp. 1-28
c3;2; and the VG process converges asymptotically in distribution to a
Lévy
process
driven by a normal distribution with …
Persistent link: https://www.econbiz.de/10014332830
Saved in:
4
Approximating the classical risk process by stable Lévy motion
Cao, Jingyi
;
Young, Virginia R.
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 679-707
Persistent link: https://www.econbiz.de/10014383892
Saved in:
5
A refracted
Lévy
process
with delayed dividend pullbacks
Wang, Zijia
;
Lkabous, Mohamed Amine
;
Landriault, David
- In:
Scandinavian actuarial journal
2023
(
2023
)
9
,
pp. 885-906
Persistent link: https://www.econbiz.de/10014384012
Saved in:
6
Multi-population mortality modeling with Lévy processes
Jevtić, Petar
;
Qin, Chengwei
;
Zhou, Hongjuan
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 583-609
Persistent link: https://www.econbiz.de/10014443756
Saved in:
7
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Arta Surya
;
Wang, Wenyuan
;
Zhao, Xianghua
;
Zhou, …
- In:
Scandinavian actuarial journal
2023
(
2023
)
2
,
pp. 97-122
Persistent link: https://www.econbiz.de/10014325014
Saved in:
8
Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-28
; and the VG process converges asymptotically in distribution to a
Lévy
process
driven by a normal distribution with mean (μ …
Persistent link: https://www.econbiz.de/10014288862
Saved in:
9
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
Saved in:
10
A Fourier cosine expansion method for pricing FX-TARN under Lévy processes
Tong, Kevin Z.
- In:
Quantitative finance and economics
7
(
2023
)
2
,
pp. 261-286
Persistent link: https://www.econbiz.de/10015120993
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