Pricing range notes within Wishart affine models (Q2513635): Difference between revisions

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+Q5420974
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+The design of equity-indexed annuities
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+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Affine processes on positive semidefinite matrices
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+A flexible matrix Libor model with smiles
@@ Property / cites work: A flexible matrix Libor model with smiles / rank @@
+Normal rank
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+Riding on the smiles
@@ Property / cites work: Riding on the smiles / rank @@
+Normal rank
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+HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
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+Normal rank
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+Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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+Option pricing when correlations are stochastic: an analytical framework
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+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
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+Optimal investment strategies in the presence of a minimum guarantee.
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
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+THE WISHART SHORT RATE MODEL
@@ Property / cites work: THE WISHART SHORT RATE MODEL / rank @@
+Normal rank
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+The Wishart autoregressive process of multivariate stochastic volatility
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+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+Discrete time Wishart term structure models
@@ Property / cites work: Discrete time Wishart term structure models / rank @@
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+SOLVABLE AFFINE TERM STRUCTURE MODELS
@@ Property / cites work: SOLVABLE AFFINE TERM STRUCTURE MODELS / rank @@
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+Q4002884
@@ Property / cites work: Q4002884 / rank @@
+Normal rank
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+Currency option pricing with Wishart process
@@ Property / cites work: Currency option pricing with Wishart process / rank @@
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+MultiFactor Valuation of Floating Range Notes
@@ Property / cites work: MultiFactor Valuation of Floating Range Notes / rank @@
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+Affine stochastic mortality
@@ Property / cites work: Affine stochastic mortality / rank @@
+Normal rank
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+Pricing inflation products with stochastic volatility and stochastic interest rates
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+Pricing inflation-linked variable annuities under stochastic interest rates
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+Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
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+Valuation of equity-indexed annuity under stochastic mortality and interest rate
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