Pages that link to "Item:Q5363838"

The following pages link to An equilibrium characterization of the term structure (Q5363838):

Displaying 50 items.

• First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844) (← links)
• Stochastic square of the Brennan-Schwartz diffusion process: statistical computation and application (Q2195941) (← links)
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching (Q2197841) (← links)
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations (Q2199706) (← links)
• Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay (Q2199791) (← links)
• Enhanced group analysis of a semi linear generalization of a general bond-pricing equation (Q2204806) (← links)
• A pure-jump mean-reverting short rate model (Q2209739) (← links)
• Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products (Q2209788) (← links)
• Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products'' (Q2209789) (← links)
• Multilevel Monte Carlo by using the Halton sequence (Q2213359) (← links)
• A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates (Q2213599) (← links)
• Optimal portfolio selection of mean-variance utility with stochastic interest rate (Q2220511) (← links)
• A lattice approach to evaluate participating policies in a stochastic interest rate framework (Q2222157) (← links)
• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models (Q2227060) (← links)
• An evaluation of some popular investment strategies under stochastic interest rates (Q2227435) (← links)
• A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates (Q2229798) (← links)
• A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision (Q2241064) (← links)
• Ornstein-Uhlenbeck processes of bounded variation (Q2241633) (← links)
• Optimal dividend of compound Poisson process under a stochastic interest rate (Q2244203) (← links)
• The impact of financial risks on financial investment in infrastructure: based on a two-factor stochastic differential equation (Q2244403) (← links)
• Correlated log-normal random variables under a multiscale volatility model (Q2247624) (← links)
• Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics (Q2247925) (← links)
• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285) (← links)
• Gaussian estimation of one-factor mean reversion processes (Q2260564) (← links)
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates (Q2266898) (← links)
• Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992) (← links)
• Interest rate term structure modelling (Q2275618) (← links)
• Three retirement decision models for defined contribution pension plan members: a simulation study (Q2276201) (← links)
• Calibrating affine stochastic mortality models using term assurance premiums (Q2276259) (← links)
• On ``optimal pension management in a stochastic framework'' with exponential utility (Q2276261) (← links)
• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches (Q2276267) (← links)
• Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model (Q2287817) (← links)
• Mixed-asset portfolio allocation under mean-reverting asset returns (Q2288891) (← links)
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility (Q2292015) (← links)
• Structural recovery of face value at default (Q2294656) (← links)
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates (Q2296466) (← links)
• Investment under uncertainty with a zero lower bound on interest rates (Q2300365) (← links)
• Multiscale stochastic optimization: modeling aspects and scenario generation (Q2301125) (← links)
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
• Long-term swings and seasonality in energy markets (Q2315654) (← links)
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
• Semiparametric multivariate and multiple change-point modeling (Q2316981) (← links)
• Skew CIR process, conditional characteristic function, moments and bond pricing (Q2318215) (← links)
• A stochastic string with a compound Poisson process (Q2319205) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Optimal management of immunized portfolios (Q2323657) (← links)
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
• Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis (Q2331000) (← links)
• A multicurve cross-currency LIBOR market model (Q2337026) (← links)