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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Physica A: Statistical Mechanics and its Applications"
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Continuous time random walks
10
Anomalous diffusion
7
Continuous-time random walk
6
Econophysics
6
Fractional calculus
6
Option pricing theory
5
Optionspreistheorie
5
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Scalas, Enrico
5
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3
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2
Jurlewicz, Agnieszka
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Mainardi, Francesco
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Christopher Lee, C.
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Hamada, Ahmed S.
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Hilfer, R.
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Huang, Hailan
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International journal of theoretical and applied finance
Physica A: Statistical Mechanics and its Applications
CESifo Working Paper
17
European journal of operational research : EJOR
16
Journal of economic dynamics & control
13
MPRA Paper
13
Quantitative Finance
13
CESifo Working Paper Series
11
Computational Statistics
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Statistical Inference for Stochastic Processes
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8
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Cowles Foundation Discussion Papers
7
Economic Theory
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Finance
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Games and economic behavior
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International Journal of Theoretical and Applied Finance (IJTAF)
7
Journal of empirical finance
7
Journal of mathematical economics
7
CEPR Discussion Papers
6
CREATES Research Papers
6
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Discussion Paper
6
European Journal of Operational Research
6
IZA Discussion Papers
6
Stochastic Processes and their Applications
6
Annals of finance
5
CIRANO Working Papers
5
International journal of production research
5
Journal of economic behavior & organization : JEBO
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Mathematics and Computers in Simulation (MATCOM)
5
Mathematics of operations research
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RePEc
33
ECONIS (ZBW)
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1
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:
2
A note on utility indifference pricing
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
Saved in:
3
Correlated
continuous
time
random walk with time averaged waiting time
Lv, Longjin
;
Ren, Fu-Yao
;
Wang, Jun
;
Xiao, Jianbin
- In:
Physica A: Statistical Mechanics and its Applications
422
(
2015
)
C
,
pp. 101-106
In this paper, we study the dynamics of a correlated
continuous
time
random walk with time averaged waiting time. The …
Persistent link: https://www.econbiz.de/10011194031
Saved in:
4
Optimal credit allocation under regime uncertainty with sensitivity analysis
Bernis, Guillaume
;
Carassus, Laurence
;
Docq, Grégoire
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011403164
Saved in:
5
Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen
;
Blanco, Sara Ana Solanilla
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
Saved in:
6
Generalized diffusion equation and analytical expressions to neutron scattering experiments
Fa, Kwok Sau
- In:
Physica A: Statistical Mechanics and its Applications
415
(
2014
)
C
,
pp. 366-374
An integro-differential diffusion equation with linear force, based on the
continuous
time
random walk model, is …
Persistent link: https://www.econbiz.de/10010939951
Saved in:
7
Short note on the emergence of fractional kinetics
Pagnini, Gianni
- In:
Physica A: Statistical Mechanics and its Applications
409
(
2014
)
C
,
pp. 29-34
and described by the
Continuous
Time
Random Walk model. But, as a consequence of the complexity of the medium, each …
Persistent link: https://www.econbiz.de/10010785358
Saved in:
8
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
9
Space–time fractional diffusion equations and asymptotic behaviors of a coupled
continuous
time
random walk model
Shi, Long
;
Yu, Zuguo
;
Mao, Zhi
;
Xiao, Aiguo
;
Huang, Hailan
- In:
Physica A: Statistical Mechanics and its Applications
392
(
2013
)
23
,
pp. 5801-5807
In this paper, we consider a type of
continuous
time
random walk model where the jump length is correlated with the …
Persistent link: https://www.econbiz.de/10010703207
Saved in:
10
Equivalent continuous and discrete realizations of Lévy flights: A model of one-dimensional motion of an inertial particle
Lubashevsky, Ihor
- In:
Physica A: Statistical Mechanics and its Applications
392
(
2013
)
10
,
pp. 2323-2346
generalization of
continuous
time
random walks. To simplify understanding the key points of the technique to be created, our …
Persistent link: https://www.econbiz.de/10011057630
Saved in:
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