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  • Berlin International  (2)
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  • 1
    UID:
    almafu_BV035248131
    Format: 330 S.
    ISBN: 978-3-525-20017-9
    Note: Zugl.: Konstanz, Univ., Habil.-Schrift, 2007
    Additional Edition: Elektronische Reproduktion München urn:nbn:de:bvb:12-bsb00091268-7
    Language: German
    Subjects: History , German Studies
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    Keywords: Deutsch ; Kriegsroman ; Identitätsentwicklung ; Patriotismus ; Hochschulschrift ; Hochschulschrift ; Hochschulschrift ; Hochschulschrift ; Historische Darstellung ; Hochschulschrift
    Author information: Schöning, Matthias 1969-
    Library Location Call Number Volume/Issue/Year Availability
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  • 2
    Book
    Book
    Erfurt :Landeszentrale für Politische Bildung,
    UID:
    almafu_BV020045198
    Format: 254 S.
    ISBN: 3-931426-95-5
    Series Statement: Quellen zur Geschichte Thüringens 26
    Additional Edition: Erscheint auch als Online-Ausgabe urn:nbn:de:gbv:27-20130815-101540-5
    Language: German
    Subjects: History
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    Keywords: Euthanasie ; Ministerium für Staatssicherheit ; Ermittlung ; Quelle ; Geschichtsquelle ; Quelle ; Quelle ; Geschichtsquelle
    URL: Volltext  (kostenfrei)
    URL: Volltext  (kostenfrei)
    Author information: Wanitschke, Matthias
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  • 3
    Online Resource
    Online Resource
    Cham :Springer International Publishing AG,
    UID:
    almahu_9949301198302882
    Format: 1 online resource (434 pages)
    ISBN: 9783319091143
    Series Statement: Springer Proceedings in Mathematics and Statistics Ser. ; v.99
    Note: Intro -- Preface I -- Preface II -- Contents -- Part I Markets, Regulation,and Model Risk -- A Random Holding Period Approach for Liquidity-Inclusive Risk Management -- 1 Introduction -- 1.1 Earlier Literature -- 1.2 Different Risk Horizons Are Acknowledged by BCBS -- 2 The Univariate Case -- 2.1 A Brief Review on the Stochastic Holding Period Framework -- 2.2 Semi-analytic Solutions and Simulations -- 3 Dependence Modeling: A Bivariate Case -- 4 Calibration with Liquidity Data -- 4.1 Dependencies Between Liquidity, Credit, and Market Risk -- 4.2 Marginal Distributions of SHPs -- 5 Conclusions -- References -- Regulatory Developments in Risk Management: Restoring Confidence in Internal Models -- 1 Introduction -- 2 Loss of Confidence in Internal Models---How Did It Happen? -- 2.1 An Example from the First Years of the Crisis -- 2.2 Divergence of Model Results -- 3 Alternatives to Internal Models -- 3.1 Overview -- 3.2 The Leverage Ratio -- 3.3 Regulatory Standardised Approaches -- 4 Ways of Restoring Confidence -- 4.1 Overview -- 4.2 Reducing the Variation in Model Results Through Standardisation -- 4.3 Enhancing Transparency -- 4.4 Highlighting the Positive Developments as a Result of the Trading Book Review -- 4.5 Strengthening the Use Test Concept -- 4.6 A Comprehensive Approach to Model Validation -- 4.7 Quantification and Capitalisation of Model Risk -- 4.8 Voluntary Commitment by Banks to a Code of ``Model Ethics'' -- 4.9 Other Approaches -- 5 Conclusion -- References -- Model Risk in Incomplete Markets with Jumps -- 1 Introduction -- 2 Losses from Hedged Positions -- 2.1 Market and Model Setup -- 2.2 Loss Process -- 2.3 Loss Distribution -- 3 Measures of Model Risk -- 3.1 Value-at-Risk and Expected Shortfall -- 3.2 Axioms for Measures of Model Risk -- 4 Hedge Differences -- 5 Application to Energy Markets -- References. , Part II Financial Engineering -- Bid-Ask Spread for Exotic Options under Conic Finance -- 1 Introduction -- 2 Exotic Bid-Ask Spread -- 3 Conclusion -- References -- Derivative Pricing under the Possibility of Long Memory in the supOU Stochastic Volatility Model -- 1 Introduction -- 2 A Review of the supOU Stochastic Volatility Model -- 3 Martingale Conditions -- 4 Fourier Pricing in the supOU Stochastic Volatility Model -- 4.1 A Review on Fourier Pricing -- 4.2 The Characteristic Function -- 4.3 Regularity of the Moment Generating Function -- 5 Examples -- 5.1 Concrete Specifications -- 5.2 Calibration and an Illustrative Example -- References -- A Two-Sided BNS Model for Multicurrency FX Markets -- 1 Introduction -- 2 The Two-Sided Barndorff--Nielsen--Shephard Model Class -- 3 A Tractable Multivariate Extension of the Two-Sided Γ-OU-BNS Model -- 4 Modeling Two FX Rates with a Bivariate Two-Sided Γ-OU-BNS Model -- 4.1 The Dependence Structure of the Lévy Drivers -- 4.2 Implicitly Defined Models -- 5 Application: Calibration to FX Rates and Pricing of Bivariate FX Derivatives -- 5.1 Data -- 5.2 Model Setup -- 5.3 Calibration -- 6 Conclusion and Outlook -- References -- Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors -- 1 Introduction -- 2 A Review of the Model by Stoll and Wiebauer (2010) -- 3 The Oil Price Dependence of Gas Prices -- 4 Model Calibration with Temperature and Oil Price -- 4.1 Oil Price Model -- 4.2 Temperature Model -- 4.3 The Residual Stochastic Process -- 5 Option Valuation by Least Squares Monte Carlo Including Exogenous Components -- 5.1 Extensions of Least Squares Monte Carlo Algorithm Including Exogenous Components -- 5.2 Influence of Exogenous Components on Valuation Results -- 6 Conclusion -- References -- Copula-Specific Credit Portfolio Modeling -- 1 Introduction. , 2 Copulas Under Consideration -- 3 A Comparison Between CreditRisk+ and CreditMetrics -- 3.1 Preliminary Notes and General Remarks -- 3.2 Theoretical Background -- 4 Results on Estimated Copulas and Risk Figures -- 4.1 Portfolio and Model Calibration -- 4.2 Parametrization of Marginal Distributions -- 4.3 Estimation of Copulas -- 4.4 Effect of the Copula on the Risk Figures and the Tail of the Loss Distribution -- 5 Summary -- References -- Implied Recovery Rates---Auctions and Models -- 1 Introduction -- 2 CDS Settlement: Credit Auction -- 2.1 Initial Biding Period -- 2.2 Dutch Auction -- 2.3 Summary of the Auction Procedure -- 3 Examples of Implied Recovery Models -- 3.1 Cox--Ingersoll--Ross Type Reduced-Form Model -- 3.2 Pure Recovery Model -- 4 Conclusion and Outlook -- References -- Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence -- 1 Currency Carry Trade and Uncovered Interest Rate Parity -- 2 Interpreting Tail Dependence as Financial Risk Exposure in Carry Trade Portfolios -- 3 Generalised Archimedean Copula Models for Currency Exchange Rate Baskets -- 4 Currency Basket Model Estimations via Inference Function for the Margins -- 4.1 Stage 1: Fitting the Marginal Distributions via MLE -- 4.2 Stage 2: Fitting the Mixture Copula via MLE -- 5 Exchange Rate Multivariate Data Description and Currency Portfolio Construction -- 6 Results and Discussion -- 6.1 Tail Dependence Results -- 6.2 Pairwise Decomposition of Basket Tail Dependence -- 6.3 Understanding the Tail Exposure Associated with the Carry Trade and Its Role in the UIP Puzzle -- 7 Conclusion -- References -- Part III Insurance Riskand Asset Management -- Participating Life Insurance Contracts under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design -- 1 Introduction -- 2 Considered Products. , 2.1 The Traditional Product -- 2.2 Alternative Products -- 3 Stochastic Modeling and Analyzed Key Figures -- 3.1 The Financial Market Model -- 3.2 The Asset-Liability Model -- 3.3 Key Drivers for Capital Efficiency -- 4 Results -- 4.1 Assumptions -- 4.2 Comparison of Product Designs -- 4.3 Sensitivity Analyses -- 4.4 Reduction in the Level of Guarantee -- 5 Conclusion and Outlook -- References -- Reducing Surrender Incentives Through Fee Structure in Variable Annuities -- 1 Introduction -- 2 Assumptions and Model -- 2.1 Variable Annuity -- 2.2 Benefits -- 3 Valuation of the Surrender Option -- 3.1 Notation and Optimal Surrender Decision -- 3.2 Theoretical Result on Optimal Surrender Behavior -- 3.3 Valuation of the Surrender Option Using PDEs -- 4 Numerical Example -- 4.1 Numerical Results -- 5 Concluding Remarks -- References -- A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment -- 1 Introduction -- 2 The Mean-Variance-Optimal Deterministic Consumption and Investment Problem -- 3 Existence of Optimal Deterministic Control Functions -- 4 A Pontryagin Maximum Principle -- 5 Generalized Gradients for the Objective -- 6 Numerical Optimization by a Gradient Ascent Method -- 7 Numerical Example -- References -- Risk Control in Asset Management: Motives and Concepts -- 1 Introduction -- 2 Risk Management for Active Portfolios -- 2.1 Factor Structure and Portfolio Risk -- 2.2 Allocation to Active and Passive Funds -- 3 Dealing with Investors Downside-Risk Aversion -- 3.1 Portfolio Insurance -- 3.2 Popular Portfolio Insurance Strategies -- 3.3 Performance Comparison -- 3.4 Other Risks -- 4 Parameter Uncertainty and Model Uncertainty -- 4.1 Parameter Uncertainty -- 4.2 Model Uncertainty -- 5 Conclusion -- References -- Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash -- 1 Introduction. , 1.1 Alternative Ansatz of Korn and Wilmott -- 1.2 Literature Review -- 2 Setup of the Model -- 3 Optimal Portfolios Given the Probability of a Crash -- 4 The q-quantile Crash Hedging Strategy -- 5 Examples -- 5.1 Uniformly Distributed Crash Sizes -- 5.2 Conditional Exponential Distributed Crash Sizes -- 5.3 Conditional Exponential Distributed Crash Sizes with Exponential Distributed Crash Times -- 6 Deterministic Portfolio Strategies -- 7 Conclusion -- References -- Improving Optimal Terminal Value Replicating Portfolios -- 1 Introduction -- 2 The Mathematical Setup -- 3 The Theory of Replicating Portfolios -- 3.1 Cash-Flow Matching -- 3.2 Discounted Terminal Value Matching -- 4 Equivalence of Cash-Flow Matching and Discounted Terminal Value Matching -- 5 Example -- 6 Conclusion -- References -- Part IV Computational Methodsfor Risk Management -- Risk and Computation -- 1 Computational Risk -- 1.1 Efficiency of Algorithms -- 1.2 Risk of an Algorithm -- 1.3 Eliminate the Risk -- 1.4 Effort -- 1.5 Example -- 2 Assessing Structural Risk -- 2.1 Simplest Attractor -- 2.2 Mean-Field Models -- 2.3 Artificial Example -- 2.4 Structure in Phase Spaces -- 2.5 Risk Index -- 2.6 Example -- 2.7 Summary -- References -- Extreme Value Importance Sampling for Rare Event Risk Measurement -- 1 Introduction -- 2 The One-Dimensional Case -- 3 Examples -- 3.1 Example 1: Simulation Estimators of Quantiles and TailVar for the Normal Distribution -- 3.2 Example 2: Simulating a Portfolio Credit Risk Model -- 4 Conclusion -- References -- A Note on the Numerical Evaluation of the Hartman--Watson Density and Distribution Function -- 1 Introduction -- 2 Occurrence of the Hartman--Watson Law -- 3 Straightforward Implementation Based on Formula (1) -- 4 Evaluation via Gaver--Stehfest Laplace Inversion. , 5 Evaluation via a Complex Laplace Inversion Method for the Bondesson Class.
    Additional Edition: Print version: Glau, Kathrin Innovations in Quantitative Risk Management Cham : Springer International Publishing AG,c2015 ISBN 9783319091136
    Language: English
    Subjects: Economics
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    RVK:
    Keywords: Electronic books. ; Electronic book. ; Electronic books. ; Conference papers and proceedings. ; Konferenzschrift ; Electronic books
    URL: Volltext  (kostenfrei)
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  • 4
    UID:
    almahu_9949301320902882
    Format: 1 online resource (717 pages)
    ISBN: 9783319586892
    Series Statement: Methodology of Educational Measurement and Assessment Ser.
    Note: Intro -- Foreword -- Preface -- References -- Contents -- About the Editors -- Chapter 1: What Does It Mean to Be a Nonprofit Educational Measurement Organization in the Twenty-First Century? -- 1.1 What Is an Educational Nonprofit? -- 1.2 Where Did ETS Come From? -- 1.3 What Does the Past Imply for the Future? -- 1.4 Summary -- References -- Part I: ETS Contributions to Developing Analytic Tools for Educational Measurement -- Chapter 2: A Review of Developments and Applications in Item Analysis -- 2.1 Item Analysis Indices -- 2.1.1 Item Difficulty Indices -- 2.1.2 Item Discrimination Indices -- 2.2 Item and Test Score Relationships -- 2.2.1 Relating Item Indices to Test Score Characteristics -- 2.2.2 Conditional Average Item Scores -- 2.3 Visual Displays of Item Analysis Results -- 2.4 Roles of Item Analysis in Psychometric Contexts -- 2.4.1 Differential Item Functioning, Item Response Theory, and Conditions of Administration -- 2.4.2 Subgroup Comparisons in Differential Item Functioning -- 2.4.3 Comparisons and Uses of Item Analysis and Item Response Theory -- 2.4.3.1 Similarities of Item Response Theory and Item Analysis -- 2.4.3.2 Comparisons and Contrasts in Assumptions of Invariance -- 2.4.3.3 Uses of Item Analysis Fit Evaluations of Item Response Theory Models -- 2.4.4 Item Context and Order Effects -- 2.4.5 Analyses of Alternate Item Types and Scores -- References -- Chapter 3: Psychometric Contributions: Focus on Test Scores -- 3.1 Test Scores as Measurements -- 3.1.1 Foundational Developments for the Use of Test Scores as Measurements, Pre-ETS -- 3.1.2 Overview of ETS Contributions -- 3.1.3 ETS Contributions About -- 3.1.4 Intervals for True Score Inference -- 3.1.5 Studying Test Score Measurement Properties With Respect to Multiple Test Forms and Measures -- 3.1.5.1 Alternative Classical Test Theory Models. , 3.1.5.2 Reliability Estimation -- 3.1.5.3 Factor Analysis -- 3.1.6 Applications to Psychometric Test Assembly and Interpretation -- 3.2 Test Scores as Predictors in Correlational and Regression Relationships -- 3.2.1 Foundational Developments for the Use of Test Scores as Predictors, Pre-ETS -- 3.2.2 ETS Contributions to the Methodology of Correlations and Regressions and Their Application to the Study of Test Scores as Predictors -- 3.2.2.1 Relationships of Tests in a Population's Subsamples With Partially Missing Data -- 3.2.2.2 Using Test Scores to Adjust Groups for Preexisting Differences -- 3.2.2.3 Detecting Group Differences in Test and Criterion Regressions -- 3.2.2.4 Using Test Correlations and Regressions as Bases for Test Construction -- 3.3 Integrating Developments About Test Scores as Measurements and Test Scores as Predictors -- 3.4 Discussion -- References -- Chapter 4: Contributions to Score Linking Theory and Practice -- 4.1 Why Score Linking Is Important -- 4.2 Conceptual Frameworks for Score Linking -- 4.2.1 Score Linking Frameworks -- 4.2.2 Equating Frameworks -- 4.3 Data Collection Designs and Data Preparation -- 4.3.1 Data Collection -- 4.3.2 Data Preparation Activities -- 4.3.2.1 Sample Selection -- 4.3.2.2 Weighted Samples -- 4.3.2.3 Smoothing -- 4.3.2.4 Small Samples and Smoothing -- 4.4 Score Equating and Score Linking Procedures -- 4.4.1 Early Equating Procedures -- 4.4.2 True-Score Linking -- 4.4.3 Kernel Equating and Linking With Continuous Exponential Families -- 4.4.4 Preequating -- 4.4.5 Small-Sample Procedures -- 4.5 Evaluating Equatings -- 4.5.1 Sampling Stability of Linking Functions -- 4.5.1.1 The Standard Error of Equating -- 4.5.1.2 The Standard Error of Equating Difference Between Two Linking Functions -- 4.5.2 Measures of the Subpopulation Sensitivity of Score Linking Functions. , 4.5.3 Consistency of Scale Score Meaning -- 4.6 Comparative Studies -- 4.6.1 Different Data Collection Designs and Different Methods -- 4.6.2 The Role of the Anchor -- 4.6.3 Matched-Sample Equating -- 4.6.4 Item Response Theory True-Score Linking -- 4.6.5 Item Response Theory Preequating Research -- 4.6.6 Equating Tests With Constructed-Response Items -- 4.6.7 Subscores -- 4.6.8 Multidimensionality and Equating -- 4.6.9 A Caveat on Comparative Studies -- 4.7 The Ebb and Flow of Equating Research at ETS -- 4.7.1 Prior to 1970 -- 4.7.2 The Year 1970 to the Mid-1980s -- 4.7.3 The Mid-1980s to 2000 -- 4.7.4 The Years 2002-2015 -- 4.8 Books and Chapters -- 4.9 Concluding Comment -- References -- Chapter 5: Item Response Theory -- 5.1 Some Early Work Leading up to IRT (1940s and 1950s) -- 5.2 More Complete Development of IRT (1960s and 1970s) -- 5.3 Broadening the Research and Application of IRT (the 1980s) -- 5.3.1 Further Developments and Evaluation of IRT Models -- 5.3.2 IRT Software Development and Evaluation -- 5.3.3 Explanation, Evaluation, and Application of IRT Models -- 5.4 Advanced Item Response Modeling: The 1990s -- 5.4.1 IRT Software Development and Evaluation -- 5.4.2 Explanation, Evaluation, and Application of IRT Models -- 5.5 IRT Contributions in the Twenty-First Century -- 5.5.1 Advances in the Development of Explanatory and Multidimensional IRT Models -- 5.6 IRT Software Development and Evaluation -- 5.6.1 Explanation, Evaluation, and Application of IRT Models -- 5.6.2 The Signs of (IRT) Things to Come -- 5.7 Conclusion -- References -- Chapter 6: Research on Statistics -- 6.1 Linear Models -- 6.1.1 Computation -- 6.1.2 Inference -- 6.1.3 Prediction -- 6.1.4 Latent Regression -- 6.2 Bayesian Methods -- 6.2.1 Bayes for Classical Models -- 6.2.2 Later Bayes -- 6.2.3 Empirical Bayes -- 6.3 Causal Inference -- 6.4 Missing Data. , 6.5 Complex Samples -- 6.6 Data Displays -- 6.7 Conclusion -- References -- Chapter 7: Contributions to the Quantitative Assessment of Item, Test, and Score Fairness -- 7.1 Fair Prediction of a Criterion -- 7.2 Differential Item Functioning (DIF) -- 7.2.1 Differential Item Functioning (DIF) Methods -- 7.2.1.1 Early Developments: The Years Before Differential Item Functioning (DIF) Was Defined at ETS -- 7.2.1.2 Mantel-Haenszel (MH): Original Implementation at ETS -- 7.2.1.3 Subsequent Developments With the Mantel-Haenszel (MH) Approach -- 7.2.1.4 Standardization (STAND) -- Standardization's (STAND's) Definition of Differential Item Functioning (DIF) -- Standardization's (STAND's) Primary Differential Item Functioning (DIF) Index -- Extensions to Standardization (STAND) -- 7.2.1.5 Item Response Theory (IRT) -- 7.2.1.6 SIBTEST -- 7.2.2 Matching Variable Issues -- 7.2.3 Study Group Definition -- 7.2.4 Sample Size and Power Issues -- 7.3 Fair Linking of Test Scores -- 7.4 Limitations of Quantitative Fairness Assessment Procedures -- References -- Part II: ETS Contributions to Education Policy and Evaluation -- Chapter 8: Large-Scale Group-Score Assessment -- 8.1 Organization of This Chapter -- 8.2 Overview of Technological Contributions -- 8.2.1 Early Group Assessments -- 8.2.2 NAEP's Conception -- 8.2.3 Educational Opportunities Survey (EOS) -- 8.2.4 NAEP'S Early Assessments -- 8.2.5 Longitudinal Studies -- 8.2.6 Scholastic Aptitude Test (SAT) Score Decline -- 8.2.7 Calls for Change -- 8.2.7.1 The Wall Charts -- 8.2.8 NAEP's New Design -- 8.2.9 NAEP's Technical Dissemination -- 8.2.10 National Assessment Governing Board -- 8.2.11 NAEP's International Effects -- 8.2.12 Other ETS Technical Contributions -- 8.3 ETS and Large-Scale Assessment -- 8.3.1 Early Group Assessments -- 8.3.1.1 Project Talent -- 8.3.1.2 First International Mathematics Study (FIMS). , 8.3.2 NAEP's Conception -- 8.3.3 Educational Opportunities Survey -- 8.3.4 NAEP's Early Assessments -- 8.3.5 Longitudinal Studies -- 8.3.6 SAT Score Decline -- 8.3.6.1 Improvisation of Linking Methods -- 8.3.6.2 Partitioning Analysis -- 8.3.7 Call for Change -- 8.3.8 NAEP's New Design -- 8.3.9 NAEP's Technical Dissemination -- 8.3.9.1 Documentation of NAEP Procedures and Results -- 8.3.9.2 NAEP's Secondary-Use Data and Web Tools -- 8.3.10 National Assessment Governing Board -- 8.3.10.1 Comparability of State and National Estimate -- 8.3.10.2 Full Population Estimation -- 8.3.11 Mapping State Standards Onto NAEP -- 8.3.11.1 Testing Model Fit -- 8.3.11.2 Aspirational Performance Standards -- 8.3.12 Other ETS Contributions -- 8.3.12.1 Rater Reliability in NAEP -- 8.3.12.2 Computer-Based Assessment in NAEP -- 8.3.12.3 International Effects -- 8.3.12.4 ETS Contributions to International Assessments -- 8.3.13 NAEP ETS Contributions -- 8.3.13.1 The FORTRAN IV Statistical System (F4STAT) -- 8.3.13.2 Fitting Robust Regressions Using Power Series -- 8.3.13.3 Computational Error in Regression Analysis -- 8.3.13.4 Interpreting Least Squares -- 8.3.14 Impact on Policy-Publications Based on Large-Scale Assessment Findings -- Appendix: NAEP Estimation Procedures -- The Early NAEP Estimation Process -- Scaling -- Conditioning -- Variance Estimation -- Sampling Error -- Measurement Error -- Alternative Psychometric Approaches -- Possible Future Innovations -- Random Effects Model -- Adaptive Numerical Quadrature -- Using Hierarchical Models -- References -- Chapter 9: Large-Scale Assessments of Adult Literacy -- 9.1 Expanding the Construct of Literacy -- 9.2 Developing a Model for Building Construct-Based Assessments -- 9.3 Expanding and Implementing Large-Scale Assessment Methodology. , 9.3.1 Models Allowing the Derivation of Comparable Measures and Comparisons Across Literacy Assessments.
    Additional Edition: Print version: Bennett, Randy E. Advancing Human Assessment Cham : Springer International Publishing AG,c2017 ISBN 9783319586878
    Language: English
    Keywords: Electronic books. ; Electronic books
    URL: Full-text  ((OIS Credentials Required))
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