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Stochastic process
Lévy process
207
Stochastischer Prozess
113
Option pricing theory
94
Optionspreistheorie
94
Local time
41
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Aguilar, Jean-Philippe
7
Kim, Young Shin
7
Yamazaki, Akira
4
Abbring, Jaap H.
2
Bojarčenko, Svetlana I.
2
Cai, Zongwu
2
Chan, Tat Lung
2
Chevallier, Julien
2
Fabozzi, Frank J.
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Goutte, Stéphane
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Hess, Markus
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Kabanov, Jurij M.
2
Kirkby, Justin Lars
2
Klüppelberg, Claudia
2
Korbel, Jan
2
Mittnik, Stefan
2
Pagliarani, Stefano
2
Palmowski, Z.
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Park, Jiho
2
Phillips, Peter C. B.
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Rathgeber, Andreas W.
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Račev, Svetlozar T.
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Ruan, Xinfeng
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Shiraya, Kenichiro
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Zhu, Wenli
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Ahcan, Ales
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Ballotta, Laura
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Benth, Fred Espen
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Biagini, Francesca
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Bladt, Mogens
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1
Budhi Arta Surya
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Capponi, Agostino
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Carr, Peter
1
Chen, Feng
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Chen, Ping
1
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Insurance / Mathematics & economics
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International journal of theoretical and applied finance
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Quantitative finance
8
Finance and stochastics
7
Journal of econometrics
6
Applied mathematical finance
4
Computational economics
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Journal of risk and financial management : JRFM
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European journal of operational research : EJOR
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Economic modelling
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International journal of economics and finance
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Market microstructure and liquidity
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013326692
Saved in:
2
Nonlinearity induced weak instrumentation
Kasparis, Ioannis
;
Phillips, Peter C. B.
;
Magdalinos, Tassos
- In:
Econometric reviews
33
(
2014
)
5/6
,
pp. 676-712
Persistent link: https://www.econbiz.de/10010363893
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3
On American VIX options under the generalized 3/2 and 1/2 models
Detemple, Jérôme B.
;
Kitapbayev, Yerkin
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 550-581
Persistent link: https://www.econbiz.de/10011969085
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4
Nonparametric regression with nearly integrated regressors under long-run dependence
Cai, Zongwu
;
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 118-138
Persistent link: https://www.econbiz.de/10011719971
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5
Density of Skew Brownian motion and its functionals with application in finance
Gairat, Alexander
;
Shcherbakov, Vadim
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1069-1088
Persistent link: https://www.econbiz.de/10011765020
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6
High frequency asymptotics for the limit order book
Lakner, Peter
;
Reed, Josh
;
Stoikov, Sasha
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-83
Persistent link: https://www.econbiz.de/10011588237
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7
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
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8
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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9
Arbitrage problems with reflected geometric Brownian motion
Buckner, Dean
;
Dowd, Kevin
;
Hulley, Hardy
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014447570
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10
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya
;
Bojarčenko, Svetlana I.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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