Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362): 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 @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+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 @@
+Exact solutions for bond and option prices with systematic jump risk
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Stochastic flows and the forward measure
@@ Property / cites work: Stochastic flows and the forward measure / rank @@
+Normal rank
@@ Property / cites work @@
+On Markov‐modulated Exponential‐affine Bond Price Formulae
+Normal rank
@@ Property / cites work @@
+An interest rate model with a Markovian mean reverting level
+Normal rank
@@ Property / cites work @@
+A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
+Normal rank
@@ Property / cites work @@
+The Term Structure of Interest Rates in a Hidden Markov Setting
+Normal rank
@@ Property / cites work @@
+New finite-dimensional filters and smoothers for noisily observed Markov chains
+Normal rank
@@ Property / cites work @@
+Q3969647
@@ Property / cites work: Q3969647 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset Prices With Regime-Switching Variance Gamma Dynamics
+Normal rank
@@ Property / cites work @@
+Q3200962
@@ Property / cites work: Q3200962 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3217380
@@ Property / cites work: Q3217380 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
+Normal rank