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 CARMA INTEREST RATE MODEL (Q4979881) (← links)
• A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds (Q4985195) (← links)
• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series (Q4986658) (← links)
• Optimal Longevity Risk Transfer and Investment Strategies (Q4987089) (← links)
• Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model (Q4987098) (← links)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data (Q4987543) (← links)
• Duality for a class of continuous-time reversible Markov models (Q4987653) (← links)
• Series Expansions and Direct Inversion for the Heston Model (Q4988549) (← links)
• Markovian short rates in multidimensional term structure Lévy models (Q4989145) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• Options in and on interest rate futures contracts: results from martingale pricing theory (Q4994395) (← links)
• A simple class of square-root interest-rate models (Q4994398) (← links)
• POLYNOMIAL TERM STRUCTURE MODELS (Q4994442) (← links)
• Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain (Q4997194) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• Valuation of forward start options under affine jump-diffusion models (Q5001168) (← links)
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation (Q5001562) (← links)
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
• (Q5011445) (← links)
• Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? (Q5019039) (← links)
• Impact of Plant Utilization on Irreversible Investment Under Uncertainty with Application to Refinery Investment (Q5021965) (← links)
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552) (← links)
• A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
• European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model (Q5036853) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling (Q5038295) (← links)
• Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market (Q5039390) (← links)
• On the Valuation of Discrete Asian Options in High Volatility Environments (Q5041837) (← links)
• Analytical approximation to the multidimensional Fokker–Planck equation with steady state (Q5051143) (← links)
• ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES (Q5051178) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models (Q5053489) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• Self-exciting jump processes and their asymptotic behaviour (Q5056593) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Mathematical analysis of a credit default swap with counterparty risks (Q5056722) (← links)
• MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS (Q5061495) (← links)
• Valuation of European options with stochastic interest rates and transaction costs (Q5063448) (← links)
• Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect (Q5078025) (← links)
• A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
• A BSDE approach for bond pricing under interest rate models with self-exciting jumps (Q5078537) (← links)
• Jump-robust volatility estimation using dynamic dual-domain integration method (Q5079475) (← links)
• A note on ergodicity for CIR model with Markov switching (Q5082619) (← links)
• Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750) (← links)
• Reducing Bias in Event Time Simulations via Measure Changes (Q5085125) (← links)
• Consistent utility of investment and consumption: a forward/backward SPDE viewpoint (Q5086452) (← links)
• Ergodicity of CIR type SDEs driven by stable processes with random switching (Q5086515) (← links)
• Pricing double volatility barriers option under stochastic volatility (Q5086643) (← links)