A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453): Difference between revisions

@@ Property / author @@
+Allen P. Liu
@@ Property / author: Allen P. Liu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.physa.2020.125619
+Normal rank
@@ Property / OpenAlex ID @@
+W3111581966
@@ Property / OpenAlex ID: W3111581966 / rank @@
+Normal rank
@@ Property / cites work @@
+Some models for rainfall based on stochastic point processes
+Normal rank
@@ Property / cites work @@
+Modelling longitudinal and spatially correlated data: methods, applications, and future directions. Proceedings of the conference, Nantucket, USA, October 1996
+Normal rank
@@ Property / cites work @@
+PRICING PRECIPITATION BASED DERIVATIVES
@@ Property / cites work: PRICING PRECIPITATION BASED DERIVATIVES / rank @@
+Normal rank
@@ Property / cites work @@
+On Modelling and Pricing Rainfall Derivatives with Seasonality
+Normal rank
@@ Property / cites work @@
+Modeling and Pricing in Financial Markets for Weather Derivatives
+Normal rank
@@ Property / cites work @@
+A Lévy-driven rainfall model with applications to futures pricing
+Normal rank
@@ Property / cites work @@
+TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
+Normal rank
@@ Property / cites work @@
+Evaluating callable and putable bonds: an eigenfunction expansion approach
+Normal rank
@@ Property / cites work @@
+Time-changed CIR default intensities with two-sided mean-reverting jumps
+Normal rank
@@ Property / cites work @@
+TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
+Normal rank
@@ Property / cites work @@
+Additive subordination and its applications in finance
+Normal rank
@@ Property / cites work @@
+Pure jump models for pricing and hedging VIX derivatives
+Normal rank
@@ Property / cites work @@
+Regression Analsis with Censored Autocorrelated Data
+Normal rank
@@ Property / cites work @@
+Q3999269
@@ Property / cites work: Q3999269 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank