Pages that link to "Item:Q2856469"

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

Displaying 50 items.

• Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models (Q5235461) (← links)
• CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL (Q5237548) (← links)
• Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (Q5242234) (← links)
• PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (Q5242954) (← links)
• CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES (Q5245891) (← links)
• Dynamic option hedging via stochastic model predictive control based on scenario simulation (Q5247231) (← links)
• An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions (Q5247276) (← links)
• Mean-variance cointegration and the expectations hypothesis (Q5247279) (← links)
• Sample Partitioning Estimation for Ergodic Diffusions (Q5252811) (← links)
• Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models (Q5256269) (← links)
• Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data (Q5256277) (← links)
• Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections (Q5259080) (← links)
• Valuation of Bond Options Under the CIR Model: Some Computational Remarks (Q5261870) (← links)
• Algorithm 963 (Q5270763) (← links)
• Short Rate as a Sum of Two CKLS-Type Processes (Q5274951) (← links)
• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355) (← links)
• Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
• Non-parametric partial importance sampling for financial derivative pricing (Q5300444) (← links)
• Approximation of SDEs by Population-Size-Dependent Galton–Watson Processes (Q5305285) (← links)
• First and second moment reversion for a discretized square root process with jumps (Q5305973) (← links)
• A positive interest rate model with sticky barrier (Q5309001) (← links)
• Using Utility Functions to Model Risky Bonds (Q5310698) (← links)
• A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING (Q5324398) (← links)
• FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q5324401) (← links)
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (Q5324878) (← links)
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• Exact Time Dependent Solutions to (1+1) Fokker-Planck Equation via Linearizing Transformations to the Ito Equations (Q5346972) (← links)
• Analytic approach to solve a degenerate parabolic PDE for the Heston model (Q5348435) (← links)
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (Q5351667) (← links)
• THE ANALYTIC APPROACH FOR THE STOCHASTIC PROJECTION OF THE PUBLIC PENSION FUND (Q5358111) (← links)
• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum (Q5366996) (← links)
• LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (Q5367499) (← links)
• From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable (Q5369323) (← links)
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443) (← links)
• Two asset-barrier option under stochastic volatility (Q5373915) (← links)
• NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999) (← links)
• A Feynman-Kac type formula for a fixed delay CIR model (Q5378408) (← links)
• Applications of Mortality Durations and Convexities in Natural Hedges (Q5379127) (← links)
• Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model (Q5379238) (← links)
• Improving the Forecast of Longevity by Combining Models (Q5382572) (← links)
• Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations (Q5383902) (← links)
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching (Q5384788) (← links)
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
• Mean–variance efficiency with extended CIR interest rates (Q5391296) (← links)
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
• On the conditional default probability in a regulated market with jump risk (Q5400666) (← links)