Pages that link to "Item:Q2856469"

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

Displaying 50 items.

• Moments and ergodicity of the jump-diffusion CIR process (Q5087038) (← links)
• Specification tests for univariate diffusions (Q5095206) (← links)
• COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS (Q5111485) (← links)
• Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model (Q5111850) (← links)
• On CIR Equations with General Factors (Q5112533) (← links)
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593) (← links)
• Randomized Global Sensitivity Analysis and Model Robustness (Q5117942) (← links)
• LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC (Q5119562) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• Closed-form Arrow-Debreu pricing for the Hull-White short rate model (Q5120737) (← links)
• Continuous-time multi-cohort mortality modelling with affine processes (Q5123186) (← links)
• Cohort and value-based multi-country longevity risk management (Q5123192) (← links)
• Stochastic models for greenhouse gas emission rate estimation from hydroelectric reservoirs: a Bayesian hierarchical approach (Q5127017) (← links)
• Continuous-State Branching Processes with Immigration (Q5132611) (← links)
• Clustering Effects via Hawkes Processes (Q5132613) (← links)
• A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC (Q5138672) (← links)
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218) (← links)
• RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (Q5140086) (← links)
• Generalizations of Ho-Lee's binomial interest rate model II: randomization (Q5141710) (← links)
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
• Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion (Q5149684) (← links)
• Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (Q5151932) (← links)
• Universal excursion and bridge shapes in ABBM/CIR/Bessel processes (Q5152588) (← links)
• (Q5155966) (← links)
• Some characterizations for the CIR model with Markov switching (Q5157726) (← links)
• THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH (Q5157842) (← links)
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
• Captive diffusions and their applications to order-preserving dynamics (Q5161083) (← links)
• Interest rate prediction: a neuro-hybrid approach with data preprocessing (Q5166466) (← links)
• (Q5176512) (← links)
• Real-world jump-diffusion term structure models (Q5189712) (← links)
• Pricing a defaultable bond with a stochastic recovery rate (Q5189714) (← links)
• MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (Q5190049) (← links)
• A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary (Q5193442) (← links)
• SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION (Q5199498) (← links)
• OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing – through discrete differential method (Q5205895) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
• NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES (Q5213443) (← links)
• Simulating random variables using moment-generating functions and the saddlepoint approximation (Q5219231) (← links)
• Some inverse Laplace transforms that contain the Marcum <i>Q</i> function and an expanded property of the Marcum <i>Q</i> function (Q5220680) (← links)
• Almost Sure Asymptotic Properties of Solutions of a Class of Non-homogeneous Stochastic Differential Equations (Q5223390) (← links)
• Squared Bessel process with delay (Q5225291) (← links)
• Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (Q5225364) (← links)
• (Q5227505) (← links)
• Exponential ergodicity of an affine two-factor model based on the α-root process (Q5233204) (← links)
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM (Q5234011) (← links)
• A simple mechanism for financial bubbles: time-varying momentum horizon (Q5234324) (← links)
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)