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institution:"Centre for Analytical Finance <Århus>"
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Search: subject_exact:"Stochastic process"
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Stochastic process
17
Stochastischer Prozess
17
Theorie
10
Theory
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Volatility
6
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6
Option pricing theory
3
Optionspreistheorie
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English
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Barndorff-Nielsen, Ole E.
6
Shephard, Neil G.
3
Sørensen, Michael
3
Bibby, Bo Martin
2
Levendorskij, Sergej Z.
2
Shepard, Neil
2
Ørregaard Nielsen, Morten
2
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1
Brandorff-Nielsen, Ole E.
1
Di Miscia, Orazio
1
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1
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1
Skovgaard, Ib Michael
1
Stelzer, Robert
1
Sørensen, Helle
1
Uchida, Masayuki
1
Venardos, Emmanouil
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
66
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
60
International Monetary Fund (IMF)
54
Springer Fachmedien Wiesbaden
9
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Econometrisch Instituut <Rotterdam>
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Chambre de commerce et d'industrie de Paris
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Ekonomiska forskningsinstitutet <Stockholm>
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Judge Institute of Management Studies
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3
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Center for Mathematical Studies in Economics and Management Science (CMS-EMS), Kellogg Graduate School of Management
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3
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Springer-Verlag GmbH
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HWWA-Institut für Wirtschaftsforschung
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Institut für Wirtschaftswissenschaften <Wien>
2
International Center for Financial Asset Management and Engineering
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
17
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ECONIS (ZBW)
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1
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
2
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
3
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002106417
Saved in:
4
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
Saved in:
5
Power and bipower variation with stocjastic volatility and jumps
Brandorff-Nielsen, Ole E.
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763251
Saved in:
6
Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
Saved in:
7
Modelling PCS options via individual indices
Schmidli, Hanspeter
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793914
Saved in:
8
Spectral analysis of fractionally cointegrated systems
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838618
Saved in:
9
Local empirical spectral measure of multivariate processes with long range dependence
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838828
Saved in:
10
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
Saved in:
11
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
12
Hyperbolic processes in finance
Bibby, Bo Martin
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
Saved in:
13
Realised power variation and stochastic models
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607775
Saved in:
14
Integrated OU processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001560040
Saved in:
15
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
16
Feller processes of Normal Inverse Gaussian type
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543241
Saved in:
17
Barrier options and touch-and-out options under regular Lévy processes of exponential type
Bojarčenko, Svetlana I.
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543244
Saved in:
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