A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: On measuring volatility of diffusion processes with high frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hypoellipticity in infinite dimensions and an application in interest rate theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Phenomenology of the interest rate curve / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4230831 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A characterization of hedging portfolios for interest rate contingent claims. / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4887229 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of invariant manifolds for stochastic equations in infinite dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularity of finite-dimensional realizations for evolution equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4337939 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5436613 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fourier series method for measurement of multivariate volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus of variations in mathematical finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Malliavin calculus for the stochastic 2D Navier—Stokes equation / rank
 
Normal rank

Latest revision as of 00:39, 29 June 2024

scientific article
Language Label Description Also known as
English
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
scientific article

    Statements

    A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (English)
    0 references
    0 references
    0 references
    6 February 2009
    0 references
    stochastic volatility
    0 references
    high frequency data
    0 references
    Lie brackets
    0 references
    finite dimensional realizations
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references