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stochastic volatility
Theorie
215
Theory
195
continuous time
114
Stochastischer Prozess
102
Stochastic process
93
Continuous time
86
Game theory
66
Markov chain
66
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65
Spieltheorie
63
Zeitreihenanalyse
54
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50
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41
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38
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37
Volatilität
36
Volatility
34
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33
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33
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32
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24
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20
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Continuous-time
18
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18
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18
Control theory
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17
Moral Hazard
17
Continuous Time
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continuous-time
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18
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Gentle, James E.
4
Härdle, Wolfgang Karl
4
McAleer, Michael
4
Haug, Stephan
3
Ishida, Isao
3
Oya, Kosuke
3
Alòs, Elisa
2
Czado, Claudia
2
Gao, Jiti
2
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2
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1
CHACKO, George
1
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1
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1
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1
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1
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1
Fos, Vyacheslav
1
Gapeev, Pavel V.
1
Harvey, Andrew
1
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1
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1
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1
Kirkby, J. Lars
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Department of Economics and Business, Universitat Pompeu Fabra
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
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1
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1
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1
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2
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2
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1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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RePEc
15
ECONIS (ZBW)
5
EconStor
5
BASE
1
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21
Modeling long-range dependent Gaussian processes with application in
continuous-time
financial models
Gao, Jiti
-
Volkswirtschaftliche Fakultät, …
-
2002
application of the proposed estimation method to a
continuous-time
financial model is discussed. …
Persistent link: https://www.econbiz.de/10005260167
Saved in:
22
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:
23
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
CHACKO, George
;
VICEIRA, Luis M.
-
Swiss Finance Institute
-
1999
the Duffie-Epstein (1992) formulation of recursive utility in
continuous
time
, it shows that the optimal portfolio demand …
Persistent link: https://www.econbiz.de/10005264599
Saved in:
24
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:
25
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:
26
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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