Pages that link to "Item:Q3161734"
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The following pages link to TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734):
Displaying 42 items.
- Additive subordination and its applications in finance (Q309162) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- Nonexistence of Markovian time dynamics for graphical models of correlated default (Q415636) (← links)
- Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- General dynamic term structures under default risk (Q1615894) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
- Variance swaps on defaultable assets and market implied time-changes (Q2813077) (← links)
- Multivariate subordination of Markov processes with financial applications (Q2831000) (← links)
- Expectations of functions of stochastic time with application to credit risk modeling (Q2831002) (← links)
- Transform analysis for point processes and applications in credit risk (Q2851562) (← links)
- Time-Changed Birth Processes and Multiname Credit Derivatives (Q3100403) (← links)
- TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
- Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
- Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
- Static replication of barrier-type options via integral equations (Q4991074) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- CDS calibration under an extended JDCEV model (Q5031741) (← links)
- Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178) (← links)
- PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (Q5242954) (← links)
- Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
- Spectral representation of transition density of Fisher–Snedecor diffusion (Q5411909) (← links)
- TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS (Q5420699) (← links)
- CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702) (← links)
- Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
- Regulating stochastic clocks§ (Q6592292) (← links)
