Pages that link to "Item:Q1425484"
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The following pages link to Affine processes and applications in finance (Q1425484):
Displaying 50 items.
- Linearized filtering of affine processes using stochastic Riccati equations (Q2289789) (← links)
- On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method (Q2292051) (← links)
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (Q2296110) (← links)
- Affine processes under parameter uncertainty (Q2296126) (← links)
- Affine processes beyond stochastic continuity (Q2299583) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Term structure modelling for multiple curves with stochastic discontinuities (Q2308181) (← links)
- A semigroup approach to generalized Black-Scholes type equations in incomplete markets (Q2315047) (← links)
- Markovian structure of the Volterra Heston model (Q2322574) (← links)
- Exponential moments of affine processes (Q2341630) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration (Q2350054) (← links)
- Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
- Holomorphic transforms with application to affine processes (Q2391274) (← links)
- Pricing credit derivatives under a correlated regime-switching hazard processes model (Q2397578) (← links)
- On conditional least squares estimation for affine diffusions based on continuous time observations (Q2417987) (← links)
- Affine representations of fractional processes with applications in mathematical finance (Q2419969) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Transition density estimates for a class of Lévy and Lévy-type processes (Q2428535) (← links)
- Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Affine diffusions and related processes: simulation, theory and applications (Q2449312) (← links)
- Parameter estimation in two-type continuous-state branching processes with immigration (Q2454006) (← links)
- Parameter estimation for a subcritical affine two factor model (Q2454021) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- Credit derivatives in an affine framework (Q2471738) (← links)
- Stochastic Jacobian and Riccati ODE in affine term structure models (Q2477604) (← links)
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477) (← links)
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
- On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance (Q2485843) (← links)
- Time-inhomogeneous affine processes (Q2485845) (← links)
- Skew convolution semigroups and affine Markov processes (Q2497172) (← links)
- Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
- Pricing default events: surprise, exogeneity and contagion (Q2511807) (← links)
- Optimal bond portfolios with fixed time to maturity (Q2513599) (← links)
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (Q2513643) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Long-term behavior of stochastic interest rate models with Markov switching (Q2520458) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
- Consistency conditions for affine term structure models. (Q2574626) (← links)
- Probability measure-valued polynomial diffusions (Q2631856) (← links)
- Volterra mortality model: actuarial valuation and risk management with long-range dependence (Q2656983) (← links)
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935) (← links)
- Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process (Q2682349) (← links)
- Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
- Schumpeterian competition in a Lucas economy (Q2685872) (← links)
