Pages that link to "Item:Q2364536"

The following pages link to Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536):

Displaying 33 items.

• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching (Q1634887) (← links)
• Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients (Q1726836) (← links)
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs (Q1994897) (← links)
• Multiple yield curve modelling with CBI processes (Q2037767) (← links)
• Continuous time mixed state branching processes and stochastic equations (Q2154335) (← links)
• Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
• (Q3405205) (← links)
• Bond and option pricing for interest rate model with clustering effects (Q4554475) (← links)
• Sample paths of continuous-state branching processes with dependent immigration (Q4967293) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• Limit theorems for continuous-state branching processes with immigration (Q5084796) (← links)
• On the anisotropic stable JCIR process (Q5119398) (← links)
• Continuous-State Branching Processes with Immigration (Q5132611) (← links)
• Clustering Effects via Hawkes Processes (Q5132613) (← links)
• Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations (Q5742595) (← links)
• Coupling methods and exponential ergodicity for two‐factor affine processes (Q6047317) (← links)
• Well-posedness of a system of SDEs driven by jump random measures (Q6051211) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)
• CBI-time-changed Lévy processes (Q6116556) (← links)
• Option pricing under time interval driven model (Q6171877) (← links)
• Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data (Q6549590) (← links)
• CBI-time-changed Lévy processes for multi-currency modeling (Q6549592) (← links)
• PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices (Q6563721) (← links)
• A recursive method for fractional Hawkes intensities and the potential approach of credit risk (Q6569141) (← links)
• A self-exciting modeling framework for forward prices in power markets (Q6580688) (← links)
• Hawkes processes in energy markets: modelling, estimation and derivatives pricing (Q6610445) (← links)
• Estimation of a pure-jump stable Cox-Ingersoll-Ross process (Q6632614) (← links)
• The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)