Pages that link to "Item:Q2856469"
From MaRDI portal
The following pages link to A theory of the term structure of interest rates (Q2856469):
Displaying 50 items.
- On a discrete version of the CIR process (Q2846807) (← links)
- Stochastic volatility models and the pricing of VIX options (Q2847239) (← links)
- Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model (Q2855741) (← links)
- An intensity-based approach for equity modeling (Q2862438) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
- A stochastic volatility model and optimal portfolio selection (Q2871407) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- Path-dependent scenario trees for multistage stochastic programmes in finance (Q2873550) (← links)
- Nonparametric Estimation of Volatility Function with Variable Bandwidth Parameter (Q2873949) (← links)
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
- Prepayment option of a perpetual corporate loan: the impact of the funding costs (Q2874734) (← links)
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results (Q2878817) (← links)
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility (Q2879036) (← links)
- Testing the parametric specification of the diffusion function in a diffusion process (Q2886941) (← links)
- Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem (Q2889587) (← links)
- Convergence of reward functionals in a reselling model for a European option (Q2890728) (← links)
- Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
- Term structure movements implicit in Asian option prices (Q2893078) (← links)
- A jump-diffusion model for the euro overnight rate (Q2893080) (← links)
- Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
- Estimation of the input parameters in the Feller neuronal model (Q2903689) (← links)
- Adaptive LASSO-type estimation for multivariate diffusion processes (Q2909250) (← links)
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517) (← links)
- A note on optimal consumption and investment in a geometric Ornstein-Uhlenbeck market (Q2909820) (← links)
- Goodness-of-fit based on downsampling with applications to linear drift diffusions (Q2911667) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps (Q2923430) (← links)
- Pricing swaptions under multifactor Gaussian HJM models (Q2927950) (← links)
- An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model (Q2929374) (← links)
- Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence (Q2929377) (← links)
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (Q2929384) (← links)
- The improved split-step <i>θ</i> methods for stochastic differential equation (Q2931022) (← links)
- Impulse Control of Interest Rates (Q2935303) (← links)
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (Q2944996) (← links)
- Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
- An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
- Pricing Options with Hybrid Stochastic Volatility Models (Q2958817) (← links)
- Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion (Q2970122) (← links)
- COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (Q3005360) (← links)
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework (Q3005810) (← links)
- REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
- Quasi‐maximum likelihood estimation of discretely observed diffusions (Q3018504) (← links)
- Likelihood-based inference for correlated diffusions (Q3019141) (← links)
- An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach (Q3019487) (← links)
- Volatile earnings growth, the price of earnings and the Value premium (Q3019506) (← links)
- A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE (Q3022040) (← links)
- THE ENTROPY THEORY OF BOND OPTION PRICING (Q3022049) (← links)
- A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO (Q3022054) (← links)
