Pages that link to "Item:Q2856469"

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

Displaying 50 items.

• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
• Stationarity-based specification tests for diffusions when the process is nonstationary (Q528006) (← links)
• Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
• International market links and volatility transmission (Q528027) (← links)
• Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
• Local GMM estimation of time series models with conditional moment restrictions (Q528061) (← links)
• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions (Q528126) (← links)
• Semi-parametric estimation of American option prices (Q528168) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Bias in the estimation of mean reversion in continuous-time Lévy processes (Q529799) (← links)
• Bias in estimating multivariate and univariate diffusions (Q530603) (← links)
• The regime switching portfolios (Q538326) (← links)
• A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• Solving a nonlinear PDE that prices real options using utility based pricing methods (Q546201) (← links)
• On the densities of certain bounded diffusion processes (Q547272) (← links)
• Analysis of market weights under volatility-stabilized market models (Q549872) (← links)
• On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
• Interest rate theory and geometry (Q604623) (← links)
• Irreversible capital accumulation under interest rate uncertainty (Q604806) (← links)
• Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) (← links)
• Solutions and simulations of some one-dimensional stochastic differential equations (Q607569) (← links)
• Dynamic nonpoint-source pollution control policy: ambient transfers and uncertainty (Q608900) (← links)
• Consistent modeling of S\&P 500 and VIX derivatives (Q609838) (← links)
• Shape factors and cross-sectional risk (Q609842) (← links)
• A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
• Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
• A kernel-based parametric method for conditional density estimation (Q614083) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (Q621671) (← links)
• Affine Nelson-Siegel model (Q621711) (← links)
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions (Q628907) (← links)
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
• ``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates (Q633827) (← links)
• Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
• Enhancing credit default swap valuation with meshfree methods (Q635199) (← links)
• Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations (Q637113) (← links)
• Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem (Q637817) (← links)
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (Q640057) (← links)
• Pricing catastrophe swaps: a contingent claims approach (Q654831) (← links)
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model (Q659140) (← links)
• Esscher transforms and consumption-based models (Q659151) (← links)
• A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717) (← links)
• Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
• Heterogeneous beliefs, the term structure and time-varying risk premia (Q665723) (← links)