Pages that link to "Item:Q1425484"
From MaRDI portal
The following pages link to Affine processes and applications in finance (Q1425484):
Displaying 50 items.
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- Spectral calibration of exponential Lévy models (Q881412) (← links)
- A reduced-form intensity-based model under fuzzy environments (Q907676) (← links)
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499) (← links)
- Option pricing in a regime-switching model using the fast Fourier transform (Q937475) (← links)
- Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
- A model of discontinuous interest rate behavior, yield curves, and volatility (Q941729) (← links)
- Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
- Catalytic discrete state branching models and related limit theorems (Q960182) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- Basket CDS pricing with interacting intensities (Q964685) (← links)
- On convexity of solutions of ordinary differential equations (Q972479) (← links)
- Modelling stochastic mortality for dependent lives (Q974810) (← links)
- COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841) (← links)
- The asset allocation puzzle is still a puzzle (Q1017031) (← links)
- Long time behaviour of stochastic interest rate models (Q1023108) (← links)
- A dynamic programming approach for pricing options embedded in bonds (Q1027361) (← links)
- Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration (Q1028269) (← links)
- Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients (Q1615890) (← links)
- Extinction properties of multi-type continuous-state branching processes (Q1615898) (← links)
- Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- The Jacobi stochastic volatility model (Q1650944) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- Long-term factorization of affine pricing kernels (Q1687374) (← links)
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility (Q1688615) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Q1709604) (← links)
- Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q1709609) (← links)
- On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients (Q1726836) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
- Limit theorems for non-Markovian marked dynamic contagion processes (Q1748333) (← links)
- Affine processes with compact state space (Q1748933) (← links)
- Singular risk-neutral valuation equations (Q1761441) (← links)
- Analytical representations for the basic affine jump diffusion (Q1785484) (← links)
- Existence of invariant manifolds for stochastic equations in infinite dimension (Q1869055) (← links)
- A forward-backward SDE approach to affine models (Q1932521) (← links)
- On parameter estimation for critical affine processes (Q1951130) (← links)
- Correlated risks vs contagion in stochastic transition models (Q1994154) (← links)
- Affine forward variance models (Q1999593) (← links)
- Stochastic invariance of closed sets with non-Lipschitz coefficients (Q1999922) (← links)
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- Infinite-dimensional polynomial processes (Q2022767) (← links)
- Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
- Multiple yield curve modelling with CBI processes (Q2037767) (← links)
- A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
