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~subject:"stochastic volatility"
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Search: subject:"Continuous Time"
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stochastic volatility
Theorie
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Theory
111
Stochastic process
58
Stochastischer Prozess
58
Continuous time
57
Markov chain
45
Markov-Kette
44
Game theory
37
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36
continuous time
27
Time series analysis
26
Zeitreihenanalyse
26
Volatility
24
Mathematical programming
23
Mathematische Optimierung
23
Volatilität
22
Option pricing theory
21
Optionspreistheorie
20
Estimation theory
18
Schätztheorie
18
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17
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14
Portfolio-Management
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Continuous-time Markov chain
13
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12
Prinzipal-Agent-Theorie
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11
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Prognoseverfahren
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Scheduling problem
11
Scheduling-Verfahren
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Continuous time random walks
10
Probability theory
10
Wahrscheinlichkeitsrechnung
10
Continuous time random walk
9
Continuous-time Markov decision process
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9
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Brockhaus, Oliver
1
Collin-Dufresne, Pierre
1
Dubois, Mathieu
1
Elhouar, Mikael
1
Fos, Vyacheslav
1
Gapeev, Pavel V.
1
Harvey, Andrew
1
Kirkby, J. Lars
1
Leitao, Álvaro
1
Melenberg, Bertrand
1
Ortiz-Garcia, Luis
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Applied Mathematical Finance
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of economic forecasting ; 1
1
International journal of theoretical and applied finance
1
Statistical Inference for Stochastic Processes
1
The journal of computational finance
1
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ECONIS (ZBW)
4
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1
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
2
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
3
Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre
;
Fos, Vyacheslav
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
Saved in:
4
Finite-dimensional Realizations of Regime-switching HJM Models
Elhouar, Mikael
- In:
Applied Mathematical Finance
15
(
2008
)
4
,
pp. 331-354
forward rate volatility is allowed to depend on the current forward rate curve as well as on a
continuous
time
Markov chain y …
Persistent link: https://www.econbiz.de/10005462502
Saved in:
5
Chapter 7 Forecasting with Unobserved Components Time Series Models
Harvey, Andrew
-
2006
.
Continuous
time
models offer further flexibility in that they can handle irregular spacing. The paper compares the forecasting …
Persistent link: https://www.econbiz.de/10014023699
Saved in:
6
Stochastic volatility Gaussian Heath-Jarrow-Morton models
Valchev, Stoyan
- In:
Applied Mathematical Finance
11
(
2004
)
4
,
pp. 347-368
continuous
time
Ho-Lee and Hull-White extended Vasicek models are obtained. Introducing a regime shift in volatility that is an …
Persistent link: https://www.econbiz.de/10005462497
Saved in:
7
A Convenient Way to Characterize Equivalent Martingale Measures in Incomplete Markets
Melenberg, Bertrand
;
Werker, Bas
- In:
Statistical Inference for Stochastic Processes
2
(
1999
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10005615998
Saved in:
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