Pages that link to "Item:Q5950466"
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The following pages link to A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models (Q5950466):
Displaying 26 items.
- A general HJM framework for multiple yield curve modelling (Q287657) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- A tractable interest rate model with explicit monetary policy rates (Q322788) (← links)
- Computing survival probabilities based on stochastic differential models (Q464647) (← links)
- On the equivalence of a class of affine term structure models (Q666298) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations (Q1938899) (← links)
- How to handle negative interest rates in a CIR framework (Q2101691) (← links)
- A pure-jump mean-reverting short rate model (Q2209739) (← links)
- Asset allocation strategies in the presence of liability constraints (Q2520460) (← links)
- A two-factor model for low interest rate regimes (Q2575438) (← links)
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework (Q3005810) (← links)
- A dynamic programming approach for pricing CDS and CDS options (Q3182747) (← links)
- Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152) (← links)
- Interest rate model comparisons for participating products under Solvency II (Q4585944) (← links)
- Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (Q4609030) (← links)
- Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
- Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching (Q5384788) (← links)
- Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models (Q5459527) (← links)
- THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION (Q5483441) (← links)
- Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates (Q5886356) (← links)
- Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
- Asymmetric short-rate model without lower bound (Q6158399) (← links)
- Term structure modeling with overnight rates beyond stochastic continuity (Q6178393) (← links)
