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  • Search: subject:"shot-noise process"
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Year of publication
Subject
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Stochastic process 8 Stochastischer Prozess 8 Theorie 6 Theory 6 Option pricing theory 4 Optionspreistheorie 4 Shot noise process 4 Volatility 4 Volatilität 4 shot noise process 4 Markov chain 3 Markov-Kette 3 Schock 3 Shock 3 shot-noise process 3 Classical risk process 2 Continuous mapping theorem 2 Derivat 2 Derivative 2 Discounted penalty function 2 First passage time 2 Hawkes process 2 Interest 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Shot-noise process 2 Simulation 2 Aktienindex 1 Bernoulli sieve 1 Black-Scholes model 1 Black-Scholes-Modell 1 Bruttoinlandsprodukt 1 Business process management 1 Common shock model 1 Compound Poisson 1 Contagion 1 Convergence in distribution 1 Correlation 1 Credit derivative 1 Credit risk 1
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Online availability
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Undetermined 14
Type of publication
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Article 16
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 research-article 1
Language
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English 11 Undetermined 5
Author
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Dassios, Angelos 3 Cha, Ji Hwan 2 Hainaut, Donatien 2 Iksanov, Alexander 2 Qu, Yan 2 Schmidli, Hanspeter 2 Zhao, Hongbiao 2 Aschakulporn, Pakorn 1 Dong, Yinghui 1 Finkelstein, Maxim 1 Jang, Ji-Wook 1 Jang, Jiwook 1 Lee, Hyunju 1 Liang, Xiaoqing 1 Lin, Wei 1 Lu, Yi 1 Moraux, Franck 1 Shen, Xinmei 1 Wang, Guojing 1 Ye, Yifan 1 Yuen, Kam Chuen 1 Zhang, Jin E. 1 Zhang, Yi 1
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Published in...
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Insurance 3 Journal of the Operational Research Society 2 Stochastic Processes and their Applications 2 Asia-Pacific Journal of Risk and Insurance 1 Finance and Stochastics 1 IMA journal of management mathematics 1 Insurance: Mathematics and Economics 1 Scandinavian actuarial journal 1 Statistics & Probability Letters 1 The European journal of finance 1 The journal of computational finance 1 Top : transactions in operations research 1
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Source
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ECONIS (ZBW) 10 RePEc 5 Other ZBW resources 1
Showing 1 - 10 of 16
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Skewness and option prices under stochastic volatility models : the role of shot-noise jumps
Lin, Wei; Aschakulporn, Pakorn; Ye, Yifan; Zhang, Jin E. - In: The European journal of finance 31 (2025) 8, pp. 990-1017
Persistent link: https://www.econbiz.de/10015445589
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Shot-noise cojumps : exact simulation and option pricing
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
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Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
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Optimal preventive maintenance for systems having a continuous output and operating in a random environment
Cha, Ji Hwan; Finkelstein, Maxim - In: Top : transactions in operations research 27 (2019) 2, pp. 327-350
Persistent link: https://www.econbiz.de/10012063840
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Moment generating function of non-Markov self-excited claims processes
Hainaut, Donatien - In: Insurance 101 (2021) 2, pp. 406-424
Persistent link: https://www.econbiz.de/10012793934
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Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
Liang, Xiaoqing; Lu, Yi - In: Insurance 77 (2017), pp. 119-132
Persistent link: https://www.econbiz.de/10011783928
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Correlated default models driven by a multivariate regime-switching shot noise process
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen - In: IMA journal of management mathematics 29 (2018) 4, pp. 351-375
Persistent link: https://www.econbiz.de/10011974883
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A dynamic bivariate common shock model with cumulative effect and its acturial application
Lee, Hyunju; Cha, Ji Hwan - In: Scandinavian actuarial journal (2018) 10, pp. 890-906
Persistent link: https://www.econbiz.de/10011939771
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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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On the number of empty boxes in the Bernoulli sieve II
Iksanov, Alexander - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2701-2729
The Bernoulli sieve is the infinite “balls-in-boxes” occupancy scheme with random frequencies Pk=W1⋯Wk−1(1−Wk), where (Wk)k∈N are independent copies of a random variable W taking values in (0,1). Assuming that the number of balls equals n, let Ln denote the number of empty boxes...
Persistent link: https://www.econbiz.de/10011064966
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