Pages that link to "Item:Q1858907"

The following pages link to The surprise element: Jumps in interest rates. (Q1858907):

Displaying 50 items.

• Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Local \(M\)-estimation for jump-diffusion processes (Q449381) (← links)
• Jump diffusion transition intensities in life insurance and disability annuity (Q495519) (← links)
• R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671) (← links)
• Exact simulation of jump-diffusion processes with Monte Carlo applications (Q660166) (← links)
• Credit risk analysis of mortgage loans: An application to the Italian market (Q704063) (← links)
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
• Nonlinear stochastic partial differential equations of hyperbolic type driven by Lévy-type noises (Q727486) (← links)
• Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
• Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate (Q782628) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
• A new marked point process model for the federal funds rate target: methodology and forecast evaluation (Q844722) (← links)
• The multifactor nature of the volatility of futures markets (Q853577) (← links)
• Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607) (← links)
• Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
• Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← links)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
• On the applicability of stochastic volatility models (Q1010565) (← links)
• On the functional estimation of jump-diffusion models. (Q1398983) (← links)
• Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167) (← links)
• Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix (Q1681369) (← links)
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117) (← links)
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields (Q1739895) (← links)
• Conditional correlated jump dynamics in foreign exchange (Q1927453) (← links)
• The term structure of interest rates under regime shifts and jumps (Q1929464) (← links)
• Goodness-of-fit test for interest rate models: an approach based on empirical processes (Q1942884) (← links)
• Can the reform of green credit policy promote enterprise eco-innovation? A theoretical analysis (Q2076407) (← links)
• American and European options in multi-factor jump-diffusion models, near expiry (Q2271720) (← links)
• Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
• Bias free threshold estimation for jump intensity function (Q2322803) (← links)
• Pricing credit derivatives under fractional stochastic interest rate models with jumps (Q2398847) (← links)
• Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814) (← links)
• On the estimation of regime-switching Lévy models (Q2691688) (← links)
• Explicit Solution Processes for Nonlinear Jump-Diffusion Equations (Q3060130) (← links)
• First Order Strong Approximations of Jump Diffusions (Q3431322) (← links)
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (Q3552978) (← links)
• Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates* (Q3564678) (← links)
• Bond and option pricing for interest rate model with clustering effects (Q4554475) (← links)
• Analysis of a jump-diffusion option pricing model with serially correlated jump sizes (Q4634810) (← links)
• Double-smoothed drift estimation of jump-diffusion model (Q4976281) (← links)
• LSV models with stochastic interest rates and correlated jumps (Q4976326) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models (Q5039783) (← links)
• A BSDE approach for bond pricing under interest rate models with self-exciting jumps (Q5078537) (← links)
• Real-world jump-diffusion term structure models (Q5189712) (← links)