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  • Search: subject:"matrix Wiener-Hopf factorization"
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Subject
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Jump-diffusion 2 Markov chain 2 Markov-Kette 2 Matrix Wiener-Hopf factorization 2 Option pricing theory 2 Optionspreistheorie 2 Regime switching 2 American put option 1 CoCos 1 Credit risk 1 Deposit insurance 1 Einlagensicherung 1 Esscher transform 1 First passage time 1 First-passage problem 1 Fourier transform 1 Hedging 1 Hyper-exponential additive processes 1 Kreditrisiko 1 Lebensversicherung 1 Life insurance 1 Matrix Wiener–Hopf factorization 1 Participating life insurance 1 Phase-type 1 Portfolio selection 1 Portfolio-Management 1 Regime-switching 1 Risikomodell 1 Risk model 1 Stochastic process 1 Stochastischer Prozess 1 Structural model 1 barrier options 1 first passage times 1 matrix Wiener-Hopf factorization 1 multi-dimensional Laplace transform 1 sensitivities 1
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Article 4
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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Le Courtois, Olivier 2 Su, Xiaoshan 2 JEANNIN, MARC 1 Jiang, Zhengjun 1 PISTORIUS, MARTIJN 1 Pistorius, Martijn 1 Quittard-Pinon, François 1
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Published in...
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Asia Pacific financial markets 1 Decisions in economics and finance : a journal of applied mathematics 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Pricing and hedging defaultable participating contracts with regime switching and jump risk
Le Courtois, Olivier; Quittard-Pinon, François; Su, … - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 303-339
Persistent link: https://www.econbiz.de/10012285401
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Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier; Su, Xiaoshan - In: Asia Pacific financial markets 27 (2020) 4, pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
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PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL
JEANNIN, MARC; PISTORIUS, MARTIJN - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 657-681
-passage probability. The solution rests on a randomization and an explicit matrix Wiener-Hopf factorization. Employing this result we …
Persistent link: https://www.econbiz.de/10008461848
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On perpetual American put valuation and first-passage in a regime-switching model with jumps
Jiang, Zhengjun; Pistorius, Martijn - In: Finance and Stochastics 12 (2008) 3, pp. 331-355
Persistent link: https://www.econbiz.de/10005759637
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