Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140): Difference between revisions

@@ Property / OpenAlex ID @@
+W2892350531
@@ Property / OpenAlex ID: W2892350531 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ 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 @@
+Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
+Normal rank
@@ Property / cites work @@
+An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
+Normal rank
@@ Property / cites work @@
+Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
+Normal rank
@@ Property / cites work @@
+A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
+Normal rank
@@ Property / cites work @@
+The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
+Normal rank
@@ Property / cites work @@
+The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Critical value-based Asian option pricing model for uncertain financial markets
+Normal rank
@@ Property / cites work @@
+Highly nonlinear model in finance and convergence of Monte Carlo simulations
+Normal rank
@@ Property / cites work @@
+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
+Normal rank
@@ Property / cites work @@
+Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
+Normal rank
@@ Property / cites work @@
+Ergodicity of generalized Ait-Sahalia-type interest rate model
+Normal rank
@@ Property / cites work @@
+Testing for mutually exciting jumps and financial flights in high frequency data
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+Normal rank
@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Testing for jumps in noisy high frequency data
@@ Property / cites work: Testing for jumps in noisy high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+Dissipative control for nonlinear Markovian jump systems with actuator failures and mixed time-delays
+Normal rank
@@ Property / cites work @@
+Protocol-based state estimation for delayed Markovian jumping neural networks
+Normal rank
@@ Property / cites work @@
+Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
+Normal rank
@@ Property / cites work @@
+FFT based option pricing under a mean reverting process with stochastic volatility and jumps
+Normal rank
@@ Property / cites work @@
+Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise
+Normal rank
@@ Property / cites work @@
+Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
+Normal rank
@@ Property / cites work @@
+Mean square stability of two classes of theta method for neutral stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Stability analysis of stochastic delay differential equations with Lévy noise
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Coupling and option price comparisons in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION
+Normal rank
@@ Property / Wikidata QID @@
+Q127496833
@@ Property / Wikidata QID: Q127496833 / rank @@
+Normal rank