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.
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates (Q2398584) (← links)
- Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach (Q2401249) (← links)
- A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry (Q2402577) (← links)
- Parametric inference of autoregressive heteroscedastic models with errors in variables (Q2407522) (← links)
- Heavy-tailed fractional Pearson diffusions (Q2408994) (← links)
- On conditional least squares estimation for affine diffusions based on continuous time observations (Q2417987) (← links)
- Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
- Dynamic pricing with stochastic reference price effect (Q2422611) (← links)
- An extension of Heston's SV model to stochastic interest rates (Q2423541) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Estimation for incomplete information stochastic systems from discrete observations (Q2424352) (← links)
- A new approach for option pricing under stochastic volatility (Q2425553) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Nonparametric estimation for stochastic volatility models (Q2430253) (← links)
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps (Q2440438) (← links)
- Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
- Efficient learning via simulation: a marginalized resample-move approach (Q2442455) (← links)
- Pricing catastrophe risk bonds: a mixed approximation method (Q2442520) (← links)
- Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
- Pricing European options on deferred annuities (Q2442531) (← links)
- Fractional Pearson diffusions (Q2442987) (← links)
- A feasible natural hedging strategy for insurance companies (Q2443233) (← links)
- Optimal asset allocation for DC pension plans under inflation (Q2444718) (← links)
- On the valuation of reverse mortgages with regular tenure payments (Q2445355) (← links)
- An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk (Q2445357) (← links)
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations (Q2445730) (← links)
- Long-term behavior of stochastic interest rate models with jumps and memory (Q2446007) (← links)
- Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
- Quantifying credit and market risk under Solvency II: standard approach versus internal model (Q2447420) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- A higher order correlation unscented Kalman filter (Q2453299) (← links)
- Correlation structure of time-changed Pearson diffusions (Q2453923) (← 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)
- Model misspecification analysis for bond options and Markovian hedging strategies (Q2462883) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Term structure of interest rates and the expectation hypothesis: The Euro area (Q2464244) (← links)
- Fourier transformation and the pricing of average-rate derivatives (Q2466427) (← links)
- Forward-backward SDEs and the CIR model (Q2471244) (← links)
- A result on the first-passage time of an Ornstein-Uhlenbeck process (Q2471253) (← links)
- Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes (Q2475266) (← links)
- Wavelet estimation of the diffusion coefficient in time dependent diffusion models (Q2475318) (← links)
- A test for model specification of diffusion processes (Q2477057) (← links)
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder) (Q2477585) (← links)
- Stochastic Jacobian and Riccati ODE in affine term structure models (Q2477604) (← links)
- Interest rate options valuation under incomplete information (Q2480219) (← links)
