Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117): Difference between revisions

@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
+Normal rank
@@ Property / cites work @@
+Three ways to solve for bond prices in the Vasiček model
+Normal rank
@@ Property / cites work @@
+Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
+Normal rank
@@ Property / cites work @@
+Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
+Normal rank
@@ Property / cites work @@
+A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
+Normal rank
@@ Property / cites work @@
+Valuation of portfolio credit derivatives with default intensities using the Vasicek model
+Normal rank
@@ Property / cites work @@
+Pricing options with credit risk in a reduced form model
+Normal rank
@@ Property / cites work @@
+A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
+Normal rank
@@ Property / cites work @@
+Q5398750
@@ Property / cites work: Q5398750 / rank @@
+Normal rank
@@ Property / cites work @@
+A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model
+Normal rank
@@ Property / cites work @@
+The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
+Normal rank
@@ Property / cites work @@
+Partial information about contagion risk, self-exciting processes and portfolio optimization
+Normal rank
@@ Property / cites work @@
+Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
+Normal rank
@@ Property / cites work @@
+Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
+Normal rank
@@ Property / cites work @@
+High accurate modified WENO method for the solution of Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+New aspects of the adaptive synchronization and hyperchaos suppression of a financial model
+Normal rank
@@ Property / cites work @@
+Exact solutions for bond and option prices with systematic jump risk
+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 @@
+Approximation with generalized hyperexponential distributions: Weak convergence results
+Normal rank
@@ Property / cites work @@
+Q3680030
@@ Property / cites work: Q3680030 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378427
@@ Property / cites work: Q3378427 / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Moments of compound renewal sums with discounted claims
+Normal rank