scientific article; zbMATH DE number 7409459

zbMath1471.60119MaRDI QIDQ5155966

Yong-Ki Ma

Publication date: 13 October 2021

Full work available at URL: https://dergipark.org.tr/en/pub/hujms/issue/45735/577262

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

perturbation theorytransition density functionmulti-scale stochastic volatility model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Joint survival probability via truncated invariant copula
• Alternative models for stock price dynamics.
• A Theory of the Term Structure of Interest Rates
• Pricing the credit default swap rate for jump diffusion default intensity processes
• Perturbed Gaussian copula
• Multiscale Stochastic Volatility Asymptotics
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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