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Stochastic process
Markov processes
257
Lévy processes
236
Stochastischer Prozess
158
Option pricing theory
104
Optionspreistheorie
104
Markov chain
102
Markov-Kette
101
Theorie
88
Theory
81
Optionsgeschäft
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Option trading
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34
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optimal stopping problem
29
Derivat
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Derivative
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Portfolio-Management
25
Search theory
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Portfolio selection
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Mathematische Optimierung
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Statistical distribution
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Option pricing
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informality
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Asset and Liability Management
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Benchmarked Asset Management
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Classical Solutions
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Dynamic Investment Management
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Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Optimal stopping problem
16
Risk Sensitive Control
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Stochastic Control
16
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Yamazaki, Kazutoshi
6
Ballotta, Laura
4
Benth, Fred Espen
4
Eberlein, Ernst
4
Levendorskij, Sergej Z.
4
Pérez, José-Luis
4
Barbachan, José Santiago Fajardo
3
Chan, Tat Lung
3
Fabozzi, Frank J.
3
Hughston, Lane P.
3
SenGupta, Indranil
3
Arai, Takuji
2
Ben-Ameur, Hatem
2
Bianchi, Michele Leonardo
2
Bouzianis, George
2
Chérif, Rim
2
Elliott, Robert J.
2
Fusai, Gianluca
2
Grabchak, Michael
2
Guerra, João
2
Habtemicael, Semere
2
Kallsen, Jan
2
Krühner, Paul
2
Kyriakou, Ioannis
2
Larsen, Kasper
2
Macrina, Andrea
2
Maggistro, Rosario
2
Mandjes, Michel
2
Michaelsen, Markus
2
Noba, Kei
2
Račev, Svetlozar T.
2
Rémillard, Bruno N.
2
Schmidt, Thorsten
2
Soner, Halil Mete
2
Suzuki, Ryoichi
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Vives, Josep
2
Wang, Xingchun
2
Yamazaki, Akira
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International journal of theoretical and applied finance
14
European journal of operational research : EJOR
11
Applied mathematical finance
10
Finance and stochastics
7
Quantitative finance
6
International journal of financial engineering
5
Operations research letters
5
Computational economics
4
Insurance / Mathematics & economics
4
The European journal of finance
4
The journal of computational finance
4
Asia-Pacific financial markets
3
Journal of banking & finance
3
Mathematics of operations research
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
INFORMS journal on computing : JOC
2
Insurance : mathematics and economics
2
Journal of mathematical finance
2
Operations research
2
Research paper series / Swiss Finance Institute
2
Review of derivatives research
2
Risks : open access journal
2
Scandinavian actuarial journal
2
Swiss Finance Institute Research Paper
2
The North American journal of economics and finance : a journal of financial economics studies
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Annals of finance
1
Annals of financial economics
1
Application of operations research to financial markets
1
Applied economics
1
Applied financial economics
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
CARF working paper
1
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
1
Computational Management Science : CMS
1
Computational management science
1
Economics letters
1
FFA Working Papers : FFA working paper
1
Finance research letters
1
Financial innovation : FIN
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ECONIS (ZBW)
149
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1
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
2
Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi
;
Sheu, Yuan-Chung
;
Tsai, Ming-Yao
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
Saved in:
3
An optimal stopping problem of detecting entry points for trading modeled by geometric Brownian motion
Liu, Yue
;
Yang, Aijun
;
Zhang, Jijian
;
Yao, Jingjing
- In:
Computational economics
55
(
2020
)
3
,
pp. 827-843
Persistent link: https://www.econbiz.de/10012223679
Saved in:
4
From optimal martingales to randomized dual optimal stopping
Belomestny, Denis
;
Schoenmakers, John
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
Saved in:
5
Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 110-140
Persistent link: https://www.econbiz.de/10013554791
Saved in:
6
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
7
American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z.
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
Saved in:
8
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
9
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
10
Asymptotics of the area under the graph of a Lévy-driven workload process
Blanchet, J.
;
Mandjes, Michel
- In:
Operations research letters
41
(
2013
)
6
,
pp. 730-736
Persistent link: https://www.econbiz.de/10010236009
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