Pages that link to "Item:Q2856469"
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The following pages link to A theory of the term structure of interest rates (Q2856469):
Displaying 50 items.
- Is it Brownian or fractional Brownian motion? (Q1670157) (← links)
- Scenario generation for long run interest rate risk assessment (Q1676381) (← links)
- Staying at zero with affine processes: an application to term structure modelling (Q1676383) (← links)
- Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options (Q1681008) (← links)
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
- From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
- Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range (Q1684814) (← links)
- Long-term factorization of affine pricing kernels (Q1687374) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees (Q1689021) (← links)
- Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
- Implications of implicit credit spread volatilities on interest rate modelling (Q1694952) (← links)
- A test for a parametric form of the volatility in second-order diffusion models (Q1695433) (← links)
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee (Q1697221) (← links)
- Pension risk management with funding and buyout options (Q1697235) (← links)
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison (Q1697248) (← links)
- Term structure forecasting in affine framework with time-varying volatility (Q1697871) (← links)
- Individual optimal pension allocation under stochastic dominance constraints (Q1703557) (← links)
- Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate (Q1706706) (← links)
- On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes (Q1711721) (← links)
- Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117) (← links)
- Density symmetries for a class of 2-D diffusions with applications to finance (Q1713463) (← links)
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- Estimation of parameters in mean-reverting stochastic systems (Q1718116) (← links)
- Optimal investment for insurers with the extended CIR interest rate model (Q1722131) (← links)
- Portfolio selection with liability and affine interest rate in the HARA utility framework (Q1723831) (← links)
- Group classification of a general bond-option pricing equation of mathematical finance (Q1724784) (← links)
- On the distribution of extended CIR model (Q1726700) (← links)
- Multiple-event catastrophe bond pricing based on CIR-copula-POT model (Q1727134) (← links)
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
- A stochastic approach to model housing markets: the US housing market case (Q1735709) (← links)
- On one-dimensional Riccati diffusions (Q1737966) (← links)
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment (Q1738100) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation (Q1739353) (← links)
- Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects (Q1739883) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- Optimal portfolio management in a modified constant elasticity of variance model (Q1742187) (← links)
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704) (← links)
- De-risking strategy: longevity spread buy-in (Q1742716) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
- Statistical inference of 2-type critical Galton-Watson processes with immigration (Q1744226) (← links)
- Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty (Q1744490) (← links)
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood (Q1757374) (← links)
- Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies (Q1757966) (← links)
- A competing risks analysis of the duration of federal target funds rates (Q1762045) (← links)
