Pages that link to "Item:Q5363838"
From MaRDI portal
The following pages link to An equilibrium characterization of the term structure (Q5363838):
Displayed 50 items.
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case (Q2507952) (← links)
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data (Q2512621) (← links)
- A multinomial tree model for pricing credit default swap options (Q2513334) (← links)
- On pricing of corporate securities in the case of jump-diffusion (Q2514963) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Consistency conditions for affine term structure models. (Q2574626) (← links)
- Forecasting credit spread volatility: evidence from the Japanese Eurobond market (Q2575430) (← links)
- A two-factor model for low interest rate regimes (Q2575438) (← links)
- Empirical likelihood-based inference for nonparametric recurrent diffusions (Q2630085) (← links)
- Estimating dynamic equilibrium models using mixed frequency macro and financial data (Q2630354) (← links)
- On non-negative modeling with CARMA processes (Q2633848) (← links)
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling (Q2636938) (← links)
- A semi-Markov modulated interest rate model (Q2637384) (← links)
- Group classification of a class of equations arising in financial mathematics (Q2637947) (← links)
- Crossing probabilities for diffusion processes with piecewise continuous boundaries (Q2642479) (← links)
- Managing value-at-risk for a bond using bond put options (Q2642582) (← links)
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor (Q2643675) (← links)
- A class of asset pricing models governed by subordinate processes that signal economic shocks (Q2654429) (← links)
- A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model (Q2655624) (← links)
- Pricing longevity derivatives via Fourier transforms (Q2656990) (← links)
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935) (← links)
- Diffusion copulas: identification and estimation (Q2658762) (← links)
- Return smoothing in life insurance from a client perspective (Q2665845) (← links)
- Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
- Super- and subdiffusive positions in fractional Klein-Kramers equations (Q2668314) (← links)
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process (Q2671852) (← links)
- Options on bonds: implied volatilities from affine short-rate dynamics (Q2672920) (← links)
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate (Q2672922) (← links)
- Infinite Markov pooling of predictive distributions (Q2673184) (← links)
- A defaultable bond model with cyclical fluctuations in the spread process (Q2673795) (← links)
- Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals (Q2684938) (← links)
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (Q2687856) (← links)
- Optimal collective investment: an analysis of individual welfare (Q2690074) (← links)
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368) (← links)
- Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
- Minimum-Relative-Entropy Calibration of Asset-Pricing Models (Q2703108) (← links)
- Convex upper and lower bounds for present value functions (Q2739981) (← links)
- On the role of state variables in interest rates models (Q2744950) (← links)
- Proximal interior point method for convex semi-infinite programming (Q2778680) (← links)
- VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES (Q2786035) (← links)
- An Improved Test for Continuous Local Martingales (Q2792264) (← links)
- A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters (Q2795443) (← links)
- Pricing of long dated equity-linked life insurance contracts (Q2804516) (← links)
- On the Marshall–Olkin extended distributions (Q2816437) (← links)
- Gaussian estimation for discretely observed Cox–Ingersoll–Ross model (Q2817110) (← links)
- PRICE-ADMISSIBILITY CONDITIONS FOR ARBITRAGE-FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES (Q2831007) (← links)
- FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS (Q2831010) (← links)
- LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE (Q2842538) (← links)
- The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion (Q2849835) (← links)
- On Gaussian HJM framework for Eurodollar Futures (Q2862428) (← links)