PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS (Q5692936): Difference between revisions

@@ Property / arXiv ID @@
+cond-mat/0212249
@@ Property / arXiv ID: cond-mat/0212249 / rank @@
+Normal rank
@@ Property / cites work @@
+Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Feller processes of normal inverse Gaussian type
@@ Property / cites work: Feller processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Barrier options and touch-and-out options under regular Lévy processes of exponential type
+Normal rank
@@ Property / cites work @@
+The surprise element: Jumps in interest rates.
@@ Property / cites work: The surprise element: Jumps in interest rates. / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Term Structure Models Driven by General Levy Processes
+Normal rank
@@ Property / cites work @@
+The Defaultable Lévy Term Structure: Ratings and Restructuring
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
+Normal rank
@@ Property / cites work @@
+Optimal stopping and perpetual options for Lévy processes
+Normal rank
@@ Property / cites work @@
+Q4328337
@@ Property / cites work: Q4328337 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of affine asset pricing models using the empirical characteristic function
+Normal rank