Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Hedging"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
A self-exciting threshold jump...
Similar by person
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Hedging
Theorie
46
Theory
46
Markov chain
40
Markov-Kette
38
Option pricing theory
36
Optionspreistheorie
36
Stochastic process
29
Stochastischer Prozess
29
Portfolio selection
23
Portfolio-Management
23
Risiko
17
Risk
17
Esscher transform
11
Option trading
11
Optionsgeschäft
11
Regime-switching
11
Volatility
11
Volatilität
11
Risikomanagement
9
Risikomaß
9
Risk management
9
Risk measure
9
ARCH model
8
ARCH-Modell
8
Derivat
8
Derivative
8
Credit risk
7
Kreditrisiko
7
Dividend
6
HJB equation
6
Martingal
6
Martingale
6
Option pricing
6
Time series analysis
6
Zeitreihenanalyse
6
Anleihe
5
Bond
5
CAPM
5
Dividende
5
more ...
less ...
Online availability
All
Free
2
Undetermined
1
Type of publication
All
Article
8
Type of publication (narrower categories)
All
Article in journal
8
Aufsatz in Zeitschrift
8
Language
All
English
8
Author
All
Siu, Tak Kuen
8
Elliott, Robert J.
5
Badescu, Alexandru
1
Chan, Leunglung
1
Ching, Wai Ki
1
Ewald, Christian-Olivier
1
Gu, Jia-Wen
1
Nawar, Roy
1
Shen, Yang
1
Yu, Feng-Hui
1
Zhang, Xin
1
Zhu, Dong-Mei
1
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
2
Annals of finance
1
Energy economics
1
Journal of economic dynamics & control
1
Mathematical methods of operations research : ZOR
1
Operations research letters
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
8
Showing
1
-
8
of
8
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
2
Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier
;
Nawar, Roy
;
Siu, Tak Kuen
- In:
Energy economics
36
(
2013
),
pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
Saved in:
3
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
4
Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang
;
Zhang, Xin
;
Siu, Tak Kuen
- In:
Operations research letters
42
(
2014
)
5
,
pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
Saved in:
5
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
6
Optimal pairs trading with dynamic mean-variance objective
Zhu, Dong-Mei
;
Gu, Jia-Wen
;
Yu, Feng-Hui
;
Siu, Tak Kuen
; …
- In:
Mathematical methods of operations research : ZOR
94
(
2021
)
1
,
pp. 145-168
Persistent link: https://www.econbiz.de/10012618990
Saved in:
7
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
8
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
