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Year of publication
Subject
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Stochastischer Prozess 10,087 Stochastic process 9,986 Theorie 7,064 Theory 7,062 United States 3,641 USA 3,640 Volatilität 2,790 Volatility 2,786 Optionspreistheorie 2,216 Option pricing theory 2,211 Estimation 951 Schätzung 948 Zeitreihenanalyse 943 Time series analysis 934 Portfolio selection 890 Portfolio-Management 890 Mathematical programming 855 Mathematische Optimierung 855 Börsenkurs 604 Share price 603 Schätztheorie 551 Estimation theory 550 Markov chain 506 Markov-Kette 506 Yield curve 503 Zinsstruktur 503 CAPM 482 Monte-Carlo-Simulation 456 Monte Carlo simulation 455 Forecasting model 407 Prognoseverfahren 407 Derivat 405 Derivative 405 Simulation 367 Dynamische Optimierung 361 Dynamic programming 359 Hedging 356 Option trading 350 Optionsgeschäft 350 Capital income 347
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Online availability
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Free 2,855 Undetermined 2,210
Type of publication
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Article 5,908 Book / Working Paper 4,373 Journal 4
Type of publication (narrower categories)
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Article in journal 5,310 Aufsatz in Zeitschrift 5,310 Graue Literatur 2,164 Non-commercial literature 2,164 Working Paper 2,076 Arbeitspapier 2,068 Aufsatz im Buch 521 Book section 521 Hochschulschrift 415 Thesis 338 Lehrbuch 113 Textbook 108 Collection of articles of several authors 86 Sammelwerk 86 Collection of articles written by one author 57 Sammlung 57 Konferenzschrift 47 Conference paper 45 Konferenzbeitrag 45 Aufsatzsammlung 41 Bibliografie enthalten 37 Bibliography included 37 Forschungsbericht 31 Amtsdruckschrift 26 Government document 26 Commentary 22 Kommentar 22 Conference proceedings 21 Dissertation u.a. Prüfungsschriften 21 Systematic review 15 Übersichtsarbeit 15 Festschrift 11 Einführung 10 Case study 8 Fallstudie 8 Reprint 8 Glossar enthalten 6 Glossary included 6 Handbook 6 Handbuch 6
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Language
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English 9,748 German 344 Undetermined 149 French 22 Polish 10 Spanish 6 Russian 5 Italian 3 Swedish 2 Finnish 1 Ancient Greek (to 1453) 1 Portuguese 1 Romany 1
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Author
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McAleer, Michael 79 Chiarella, Carl 47 Platen, Eckhard 42 Koopman, Siem Jan 41 Phillips, Peter C. B. 39 Benth, Fred Espen 34 Cui, Zhenyu 33 Barndorff-Nielsen, Ole E. 32 Shephard, Neil G. 32 Asai, Manabu 29 Madan, Dilip B. 28 Ferrari, Giorgio 27 Takahashi, Akihiko 26 Yu, Jun 26 Fabozzi, Frank J. 25 Escudero, Laureano F. 24 Elliott, Robert J. 22 Račev, Svetlozar T. 22 Chan, Joshua 21 Escobar, Marcos 21 Kohlmann, Michael 21 Linton, Oliver 21 Wong, Hoi Ying 21 Gao, Jiti 20 Härdle, Wolfgang 20 Inderfurth, Karl 20 Kraft, Holger 20 Nguyen, Duy 20 Siu, Tak Kuen 20 Todorov, Viktor 20 Carr, Peter 19 Gil-Alaña, Luis A. 19 Hainaut, Donatien 19 Lux, Thomas 19 Post, Thierry 19 Scaillet, Olivier 19 Bos, Charles S. 18 Clark, Todd E. 18 Fouque, Jean-Pierre 18 Hafner, Christian M. 18
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Institution
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International Monetary Fund (IMF) 54 National Bureau of Economic Research 45 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 30 Centre for Analytical Finance <Århus> 14 Springer Fachmedien Wiesbaden 9 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Erasmus Research Institute of Management 6 Ekonomiska forskningsinstitutet <Stockholm> 5 Queen Mary College / Department of Economics 5 Centre for Economic Policy Research 4 Chambre de commerce et d'industrie de Paris 4 Econometrisch Instituut <Rotterdam> 4 International Monetary Fund 4 Judge Institute of Management Studies 4 Nuffield College 4 Aarhus Universitet / Afdeling for Nationaløkonomi 3 Australian National University / Faculty of Economics and Commerce 3 Center for Mathematical Studies in Economics and Management Science (CMS-EMS), Kellogg Graduate School of Management 3 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 3 European University Institute / Department of Economics 3 Springer-Verlag GmbH 3 University of Exeter / Department of Economics 3 Weierstraß-Institut für Angewandte Analysis und Stochastik 3 Berkeley Electronic Press 2 Bonn Graduate School of Economics 2 Center for Economic Research <Tilburg> 2 Cowles Foundation for Research in Economics, Yale University 2 Department of Economics, Oxford University 2 Deutsche Forschungsgemeinschaft 2 European University Institute / Department of Law 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Federal Reserve System / Division of Research and Statistics 2 HWWA-Institut für Wirtschaftsforschung 2 International Center for Financial Asset Management and Engineering 2 Kansantaloustieteen Laitos <Helsinki> 2 Kassel University Press GmbH 2 Meeting on Stochastic Programming <1979, Oberwolfach> 2 School of Economics and Finance <Brisbane> 2 Social Systems Research Institute 2 Springer International Publishing 2
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Published in...
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International journal of theoretical and applied finance 264 European journal of operational research : EJOR 257 Finance and stochastics 162 Journal of econometrics 160 Insurance / Mathematics & economics 143 Journal of economic dynamics & control 106 Mathematical finance : an international journal of mathematics, statistics and financial theory 98 Applied mathematical finance 96 Discussion paper / Tinbergen Institute 86 The journal of computational finance 74 Journal of mathematical finance 72 Quantitative finance 68 International journal of production economics 66 Economics letters 65 International journal of production research 62 Risks : open access journal 62 Econometric reviews 61 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 60 Computational economics 59 Computers & operations research : and their applications to problems of world concern ; an international journal 58 Operations research letters 58 Journal of economic theory 57 Journal of banking & finance 56 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 56 SFB 649 discussion paper 56 IMF Working Papers 53 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 52 Economic modelling 52 Energy economics 52 Mathematical methods of operations research 51 Mathematics of operations research 51 Working paper / National Bureau of Economic Research, Inc. 50 Annals of finance 47 Operations research 47 Annals of operations research 44 NBER working paper series 44 Management science : journal of the Institute for Operations Research and the Management Sciences 43 The journal of futures markets 42 CREATES research paper 41 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 41
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Source
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ECONIS (ZBW) 10,004 RePEc 170 USB Cologne (EcoSocSci) 99 EconStor 10 Other ZBW resources 2
Showing 1 - 50 of 10,285
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Markovian approach to stock price modelling in the Nigerian oil and gas sector
Ayo, Adekunle S.; Uwabor, Eboigbe S. - In: CBN journal of applied statistics 12 (2021) 1, pp. 23-43
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to...
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Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022
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Equilibrium price in intraday electricity markets
Aïd, René; Cosso, Andrea; Pham, Huyên - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 517-554
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
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A tractable overlapping generations structure for quantitative DSGE models
Kollmann, Robert - 2022
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Dynamic and stochastic search equilibrium
Morales-Jiménez, Camilo - 2022 - This version: February, 2022
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
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Persistent link: https://ebtypo.dmz1.zbw/10013184356
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Climate uncertainty and carbon emissions prices : the relative roles of transition and physical climate risks
Ozturk, Serda Selin; Demirer, Rıza; Gupta, Rangan - 2022
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
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My journey through finance and stochastics
Musiela, Marek - In: Finance and stochastics 26 (2022) 1, pp. 33-58
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Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model
Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks : open access journal 10 (2022) 2, pp. 1-33
We aim to assess the impact of a pandemic data point on the calibration of a stochastic multi-population mortality projection model and its resulting projections for future mortality rates. Throughout the paper, we put focus on the Li and Lee mortality model, which has become a standard for...
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Robust portfolio optimization : a stochastic evaluation of worst-case scenarios
Rotella Junior, Paulo; Rocha, Luiz Célio Souza; … - 2022
This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...
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Estimating growth at risk with skewed stochastic volatility models
Wolf, Elias - 2022
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth". In contrary to their semi-parametric approach, the SSV...
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
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Subjective expectations and uncertainty
Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławska, Ewa - 2022
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Subjective expectations and uncertainty
Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławsk, Ewa - 2022
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
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A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies that determine optimally...
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Asset price dynamics with limited attention
Hendershott, Terrence; Menkveld, Albert J.; Praz, Rémy; … - In: The review of financial studies 35 (2022) 2, pp. 962-1008
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Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...
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An SDDP-based solution approach for carriers' selection and shipments assignment under dynamic stochastic demand
Boujemma, Rania; Rekik, Monia; Hajji, Adnène - 2022
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Parallel and distributed computing for stochastic dual dynamic programming
Ávila, D.; Papavasiliou, A.; Löhndorf, Nils - In: Computational management science 19 (2022) 2, pp. 199-226
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
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Can the Heston model forecast energy generation? : a systematic literature review
Reichert, Bianca; Souza, Adriano Mendonça de - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 289-295
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The informational content of high-frequency option prices
Amaya, Diego; Bégin, Jean-François; Gauthier, Geneviève - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2166-2201
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A stochastic approach for planning airport ground support resources
Guimarans, Daniel; Padrón, Silvia - In: International transactions in operational research : a … 29 (2022) 6, pp. 3316-3345
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A stochastic proximal method for nonsmooth regularized finite sum optimization
Lakhmiri, Dounia; Orban, Dominique; Lodi, Andrea - 2022
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Testing the consumption-based CAPM using the stochastic discount factor
Monteiro, Marcel Stanlei; Gutiérrez, Carlos Enrique … - In: Revista brasileira de economia : RBE ; publicação de … 76 (2022) 1, pp. 57-71
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The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18
We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution (RND) for modeling European options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this distribution, which is a member of the...
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Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo; Rodriguez, Gabriel - 2022 - Primera edición
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On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19
The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...
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Optimizing freight procurement for transportation-inventory systems under supply and demand uncertainty
Wu, Lingxiao; Adulyasak, Yossiri; Cordeau, Jean-François - 2022
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On the stochastic vehicle routing problem with time windows, correlated travel times, and time dependency
Bomboi, Federica; Buchheim, Christoph; Pruente, Jonas - In: 4OR : quarterly journal of the Belgian, French and … 20 (2022) 2, pp. 217-239
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Interpretable prediction of urban mobility flows with deep neural networks as Gaussian processes
Steentoft, Aike; Lee, Bu-Sung - 2022
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The Stochastic Inequality Test - a Test for a Directional Treatment Effect
Schlag, Karl H.; Tremewan, James - 2022
The stochastic inequality test is an exact non-parametric test that can be used to infer whether values in one random sample tend to be higher than in another. In addition it can be used to derive a confidence interval around an intuitive measure of effect size that is readily interpretable...
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IPO Performance and Stochastic Dominance
Mihov, Vassil T.; Ren, Jue - 2022
We examine the performance of initial public offerings (IPO) using a stochastic dominance approach that allows us to capture IPO investors’ preferences for higher moments of the returns distribution. We use a comprehensive sample of 6,671 IPOs in the U.S. with IPO dates from 1980 to 2012, and...
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Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
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From Stochastic to Rough Volatility : A New Deep Learning Perspective on the Hedging
Zhu, Qinwen; Wu, Chongfeng; Diao, Xundi - 2022
The classical Black-Scholes model describes the market behavior assuming that the volatility process is a constant, and the Heston model extends it to the case where the volatility is a stochastic process. Then, the rough Bergomi (rBergomi) model was proposed to improve the description of the...
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Dynamic and Stochastic Search Equilibrium
Morales-Jimenez, Camilo - 2022
I study the business cycle properties of wage posting models with random search, for which the distributions of employment and wages play a nontrivial role for the equilibrium path. In fact, the main result of this paper is that the distribution of firms is one of the most important elements to...
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Simulating Uncorrelated Samples Using Markov Chains Monte Carlo Through Gpu for Stochastic Volatility Models Estimation
Santos, António Alberto - 2022
Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...
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Simulating Uncorrelated Samples Using Markov Chains Monte Carlo Through Gpu for Stochastic Volatility Models Estimation
Santos, António Alberto - 2022
Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...
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Fiscal Federalism in Continuous Time Stochastic Economies
Amador, Joao L.M - 2022
This paper examines the different types of incentives that countries face when deciding to take part in a federal fiscal system. The optimal degree of participation depends on the structural parameters of the economy and on the properties of the federal fiscal system. Firstly, the paper examines...
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A Multi-Stage Stochastic Programming Approach for Dynamic Pre-Positioning of Relief Supplies Considering Return
Hu, Shaolong; Hu, Qingmi; Tao, Sha; Sasha, Dong - 2022
A dynamic pre-positioning problem is proposed to efficiently respond to victims’ needs for relief supplies under uncertain and dynamic demand in humanitarian relief. The problem is formulated as a multi-stage stochastic programming model that considers pre-positioning with multi-stage...
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The EWMA Heston model
Parent, Léo - 2022
We introduce in this article the EWMA Heston model, a markovian stochastic volatility model able to capture a wide range of empirical features related to volatility dynamics while being more tractable for simulations than rough volatility models based on fractional processes. After having...
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Stochastic Technical Progress, Nearly Smooth Trends and Distinct Business Cycles
Rotemberg, Julio J. - 2022
This paper investigates whether it is possible to entertain simultaneously two attractive views about US GDP. The first is that long term growth in US GDP is attributable to an empirically plausible specification of random technical progress. The second is that deviations of GDP from a fitted...
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Fast Filtering with Large Option Panels : Implications for Asset Pricing
Dufays, Arnaud; Jacobs, Kris; Liu, Yuguo; Rombouts, Jeroen - 2022
The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models with latent state variables is challenging when using large option panels. We propose a particle MCMC framework with a novel filtering approach...
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Stochastic Local Volatility Models and the Wei-Norman Factorization Method
Guerrero, Julio; Orlando, Giuseppe - 2022
In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the heat kernel, by means of the Wei-Norman factorization method and Lie algebraic techniques. Then, we compare the results of traditional...
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Notes on Dependency and Stochasticity of Asset Returns
Lappalainen, Aki - 2022
This papers documents notes on probability distribution and average of asset returns. In summary, I argue that 1) wave function describes probabilities of asset returns, 2) following Cauchy distribution of returns makes diversification conditionally useless in terms of risk management, 3) median...
Persistent link: https://ebtypo.dmz1.zbw/10013294165
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Stochastic Additive Differences
Nakamura, Yutaka - 2022
Properties of a binary choice probability function p defined on multiattributed outcomes are studied to represent p as a transformation of additive difference evaluations of receiving and foregone outcomes into the unit interval. We use an algebraic assumption to obtain an additive difference...
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