Pages that link to "Item:Q2856469"

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

Displaying 50 items.

• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
• Constancy of equilibrium interest rates for power utility functions and stochastic constant returns to scale technologies (Q374846) (← links)
• Exact solutions for bond and option prices with systematic jump risk (Q375236) (← links)
• On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
• American bond option pricing in one-factor dynamic term structure models (Q375259) (← links)
• A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
• Pricing the risks of default (Q375364) (← links)
• Term structure modelling of defaultable bonds (Q375366) (← links)
• Pricing of swaps with default risk (Q375369) (← links)
• Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
• A specification test of stochastic diffusion models (Q385188) (← links)
• Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081) (← links)
• Goodness-of-fit test for stochastic volatility models (Q391575) (← links)
• Weak approximation of CIR equation by discrete random variables (Q392777) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• A numerical approach to obtain the yield curves with different risk-neutral drifts (Q409791) (← links)
• A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529) (← links)
• High-order approximation of Pearson diffusion processes (Q413731) (← links)
• Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
• Hysteresis effects under CIR interest rates (Q418081) (← links)
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae (Q424504) (← links)
• The sector constants of continuous state branching processes with immigration (Q425729) (← links)
• What drives short rate dynamics? A functional gradient descent approach (Q429537) (← links)
• Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
• Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725) (← links)
• Pricing American bond options using a penalty method (Q445080) (← links)
• Local \(M\)-estimation for jump-diffusion processes (Q449381) (← links)
• ANOVA for diffusions and Itō processes (Q449957) (← links)
• On the approximate maximum likelihood estimation for diffusion processes (Q449968) (← links)
• Efficient estimation of general dynamic models with a continuum of moment conditions (Q451261) (← links)
• The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
• Hermite polynomial based expansion of European option prices (Q469560) (← links)
• Optimal filtering and the dual process (Q470059) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices (Q470605) (← links)
• Asymptotically distribution-free tests for the volatility function of a diffusion (Q473355) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
• A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection (Q492666) (← links)
• Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
• Optimal debt ratio and consumption strategies in financial crisis (Q495747) (← links)
• A new numerical scheme for the CIR process (Q500385) (← links)
• Stability of the filter with Poisson observations (Q500868) (← links)
• Chapman-Kolmogorov lattice method for derivatives pricing (Q505800) (← links)
• Intensity-based framework for surrender modeling in life insurance (Q506089) (← links)