Pages that link to "Item:Q2856469"

The following pages link to A theory of the term structure of interest rates (Q2856469):

Displaying 50 items.

• Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560) (← links)
• An averaging principle for two-time-scale stochastic functional differential equations (Q1986531) (← links)
• Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Correlated risks vs contagion in stochastic transition models (Q1994154) (← links)
• Recovering default risk from CDS spreads with a nonlinear filter (Q1994302) (← links)
• Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
• Convergence of the Euler-Maruyama method for CIR model with Markovian switching (Q1998090) (← links)
• Pricing puttable convertible bonds with integral equation approaches (Q1999664) (← links)
• Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605) (← links)
• Approximate maximum likelihood estimation of a threshold diffusion process (Q2008117) (← links)
• An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design (Q2015616) (← links)
• Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (Q2015617) (← links)
• Liquidity risk and the term structure of interest rates (Q2018551) (← links)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
• A neural network-based framework for financial model calibration (Q2022121) (← links)
• Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
• Continuity of utility maximization under weak convergence (Q2024121) (← links)
• Implementing de-biased estimators using mixed sequences (Q2026640) (← links)
• Addressing systemic risk using contingent convertible debt -- a network analysis (Q2029335) (← links)
• Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition (Q2034635) (← links)
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
• A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market (Q2064595) (← links)
• Advanced strategies of portfolio management in the Heston market model (Q2069087) (← links)
• The tail behavior of jump-diffusion Cox-Ingersoll-Ross processes with regime-switching (Q2070639) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion (Q2074883) (← links)
• Is normal backwardation normal? Valuing financial futures with a local index-rate covariance (Q2076945) (← links)
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• Pricing of European call option under fuzzy interest rate (Q2097490) (← links)
• How to handle negative interest rates in a CIR framework (Q2101691) (← links)
• Required capital for long-run risks (Q2102860) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• American options and stochastic interest rates (Q2109007) (← links)
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
• Structural properties of generalised Planck distributions (Q2129247) (← links)
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
• Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling (Q2132786) (← links)
• The problem of controlling the linear output of a nonlinear uncontrollable stochastic differential system by the square criterion (Q2134298) (← links)
• Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality (Q2137747) (← links)
• Model order reduction for the simulation of parametric interest rate models in financial risk analysis (Q2138212) (← links)