Pages that link to "Item:Q2856469"

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

Displaying 50 items.

• The Randomized Heston Model (Q5742496) (← links)
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
• Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model (Q5742505) (← links)
• Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model (Q5742647) (← links)
• Pricing the Chicago Board of Trade T-Bond futures (Q5745636) (← links)
• Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637) (← links)
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (Q5746767) (← links)
• The use of Bayes factors to compare interest rate term structure models (Q5746770) (← links)
• Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators (Q5746975) (← links)
• Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation (Q5851722) (← links)
• A term structure model for dividends and interest rates (Q5855963) (← links)
• The Gibbs sampler with particle efficient importance sampling for state-space models* (Q5860963) (← links)
• Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables (Q5862903) (← links)
• Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (Q5867418) (← links)
• Project Valuation: Price Forecasts Bound to Discount Rates (Q5868927) (← links)
• On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583) (← links)
• Equivalence of mean-field avalanches and branching diffusions: from the Brownian force model to the super-Brownian motion (Q5877004) (← links)
• Valuing the distant future under stochastic resettings: the effect on discounting (Q5878317) (← links)
• On a family of coupled diffusions that can never change their initial order (Q5878320) (← links)
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352) (← links)
• Quasi-maximum likelihood estimation of multivariate diffusions (Q5881686) (← links)
• Fitting Yield Curve Models Using the Kalman Filter (Q5892243) (← links)
• The term structure of interest rates over the business cycle (Q5894589) (← links)
• Stochastic differential equations in finance (Q5899819) (← links)
• The term structure of interest rates over the business cycle (Q5906548) (← links)
• Time to build and bond risk premia (Q5918628) (← links)
• Time to build and bond risk premia (Q5919142) (← links)
• Stochastic differential equations in finance (Q5925253) (← links)
• On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models (Q5938030) (← links)
• Estimation of affine asset pricing models using the empirical characteristic function (Q5939360) (← links)
• On optimal portfolio choice under stochastic interest rates (Q5941435) (← links)
• Valuation of contingent-claims characterising particular pension schemes (Q5942776) (← links)
• From data to model and back to data: A bond portfolio management problem (Q5945849) (← links)
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)
• Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution (Q5962740) (← links)
• Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate (Q5964521) (← links)
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models (Q5964754) (← links)
• Optimal regulators for a class of nonlinear stochastic systems (Q6040970) (← links)
• Coupling methods and exponential ergodicity for two‐factor affine processes (Q6047317) (← links)
• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework (Q6053114) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
• Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts (Q6058942) (← links)
• Jump‐robust testing of volatility functions in continuous time models (Q6059411) (← links)
• Distributional properties of continuous time processes: from CIR to bates (Q6065669) (← links)
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)
• Sandwiched SDEs with unbounded drift driven by Hölder noises (Q6068847) (← links)
• Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio (Q6071066) (← links)