THE CARMA INTEREST RATE MODEL (Q4979881): Difference between revisions

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+Q5663204
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+On continuous-time threshold ARMA processes
@@ Property / cites work: On continuous-time threshold ARMA processes / rank @@
+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 @@
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@@ Property / cites work @@
+Q2760417
@@ Property / cites work: Q2760417 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of invariant manifolds for stochastic equations in infinite dimension
+Normal rank
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+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+An analytically tractable interest rate model with humped volatility
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+Interest rate option pricing with volatility humps
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+An alternative approach on the existence of affine realizations for HJM term structure models
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+An equilibrium characterization of the term structure
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024914500083
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+W3123685831
@@ Property / OpenAlex ID: W3123685831 / rank @@
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+Publication:4979881