Pages that link to "Item:Q2856469"
From MaRDI portal
The following pages link to A theory of the term structure of interest rates (Q2856469):
Displaying 50 items.
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION (Q61344) (← links)
- Forecasting the term structure of government bond yields (Q94953) (← links)
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Bootstrap specification tests for diffusion processes (Q261886) (← links)
- Testing affine term structure models in case of transaction costs (Q262758) (← links)
- Linear trend exclusion for models defined with stochastic differential and difference equations (Q268657) (← links)
- Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model (Q273787) (← links)
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- Resampling methods in econometrics (Q275241) (← links)
- A consistent bootstrap test for conditional density functions with time-series data (Q275271) (← links)
- Saddlepoint approximations for continuous-time Markov processes (Q278194) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Econometric specification of stochastic discount factor models (Q278271) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Local multiplicative bias correction for asymmetric kernel density estimators (Q288358) (← links)
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach (Q291102) (← links)
- Guest editorial: Common features (Q291618) (← links)
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853) (← links)
- Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates (Q292025) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
- An options-based approach to coordinating distributed decision systems (Q300044) (← links)
- Parameter estimation and bias correction for diffusion processes (Q302098) (← links)
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
- Local-momentum autoregression and the modeling of interest rate term structure (Q308389) (← links)
- Change detection in the Cox-Ingersoll-Ross model (Q308414) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- Generalized moment estimation of stochastic differential equations (Q311323) (← links)
- Correlation structure of fractional Pearson diffusions (Q316101) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- A tractable interest rate model with explicit monetary policy rates (Q322788) (← links)
- An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events (Q323263) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
- Coupling a memetic algorithm to simulation models for promising multi-period asset allocations (Q336580) (← links)
- The parareal algorithm for American options (Q338075) (← links)
- A copula-based method to build diffusion models with prescribed marginal and serial dependence (Q340123) (← links)
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
- The Morris-Lecar neuron model embeds a leaky integrate-and-fire model (Q353094) (← links)
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
- The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137) (← links)
- Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
