Pages that link to "Item:Q3696799"
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The following pages link to An Intertemporal General Equilibrium Model of Asset Prices (Q3696799):
Displayed 50 items.
- A model of the euro-area yield curve with discrete policy rates (Q2691694) (← links)
- Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
- Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem (Q2889587) (← links)
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model (Q3067817) (← links)
- Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process (Q3120627) (← links)
- Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model (Q3155698) (← links)
- Parametric Estimation and the CIR Model (Q3187158) (← links)
- Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model (Q3298105) (← links)
- Nonlinearity and Endogeneity in Macro-Asset Pricing (Q3368208) (← links)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977) (← links)
- Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution (Q3424331) (← links)
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments (Q3470222) (← links)
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286) (← links)
- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING (Q3523537) (← links)
- Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation (Q3652693) (← links)
- The shadow price of information in continuous time decision problems (Q3765689) (← links)
- PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION (Q4226855) (← links)
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL<sup>1</sup> (Q4226863) (← links)
- GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES (Q4226868) (← links)
- A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871) (← links)
- An intertemporal general equilibrium model of asset prices with labor input (Q4246357) (← links)
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models<sup>1</sup> (Q4345879) (← links)
- Equilibrium Models With Singular Asset Prices (Q4345912) (← links)
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes (Q4345919) (← links)
- Option Pricing When Jump Risk Is Systematic<sup>1</sup> (Q4345937) (← links)
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup> (Q4372015) (← links)
- A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL (Q4372018) (← links)
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (Q4372019) (← links)
- Pricing stock and bond derivatives with a multi-factor Gaussian model (Q4541564) (← links)
- Quadratic Hawkes processes for financial prices (Q4555068) (← links)
- Online Kernel estimation of stationary stochastic diffusion models (Q4555126) (← links)
- Understanding option prices (Q4647596) (← links)
- Optimal payoffs under state-dependent preferences (Q4683070) (← links)
- General equilibrium pricing with multiple dividend streams and regime switching (Q4683085) (← links)
- Leverage effect breakdowns and flight from risky assets (Q4683103) (← links)
- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526) (← links)
- Methodology for stochastic volatility process calibration application to the CAC 40 index (Q4922640) (← links)
- Study on split-step Rosenbrock type method for stiff stochastic differential systems (Q5030526) (← links)
- Spectral projections correlation structure for short-to-long range dependent processes (Q5056737) (← links)
- Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect (Q5078025) (← links)
- A new representation of the risk-neutral distribution and its applications (Q5079373) (← links)
- Consistent utility of investment and consumption: a forward/backward SPDE viewpoint (Q5086452) (← links)
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
- Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model (Q5093691) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS (Q5152543) (← links)
- Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (Q5242234) (← links)
- A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk (Q5397457) (← links)
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES (Q5427664) (← links)
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets (Q5431993) (← links)