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- Ornstein-Uhlenbeck processes with jumps 2009-03-20 Paper Exponential moments for HJM models with jumps 2009-02-28 Paper Stochastic Equations in Infinite Dimensions...10 bytes (17 words) - 16:49, 6 December 2023
- Poisson noise 2010-07-30 Paper Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise 2010-03-11 Paper \(L^p\)...10 bytes (17 words) - 17:04, 24 September 2023
- OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK 2013-01-16 Paper A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model 2006-09-25 Paper EXPLICIT...10 bytes (16 words) - 11:14, 13 December 2023
- 2022-03-01 Paper A deep learning model for gas storage optimization 2022-01-06 Paper Stochastic analysis with modelled distributions 2021-08-12 Paper Optimal...10 bytes (17 words) - 23:42, 24 September 2023
- affine models 2013-01-20 Paper Parameter estimation in commodity markets: a filtering approach 2009-07-01 Paper Forward-backward SDEs and the CIR model 2008-02-22...10 bytes (18 words) - 04:53, 12 December 2023
- in a discrete time random field HJM type interest rate model 2014-01-14 Paper Random field forward interest rate models, market price of risk and their...10 bytes (16 words) - 12:59, 12 December 2023
- field HJM-type interest rate model 2009-12-02 Paper On the least squares estimator in a nearly unstable sequence of stationary spatial AR models 2009-02-25...10 bytes (17 words) - 19:36, 8 December 2023
- an affine HJM framework on \(S_{d}^{+}\) 2018-07-20 Paper COHERENT FOREIGN EXCHANGE MARKET MODELS 2017-03-30 Paper A flexible matrix Libor model with smiles...10 bytes (17 words) - 16:32, 6 October 2023
- maximum likelihood estimators for a discrete-time random field HJM-type interest rate model 2009-12-02 Paper https://portal.mardi4nfdi.de/entity/Q3539599...10 bytes (16 words) - 14:16, 28 January 2024
- Publication Date of Publication Type A Lévy HJM multiple-curve model with application to CVA computation 2018-09-19 Paper COUNTERPARTY RISK AND FUNDING:...10 bytes (16 words) - 21:07, 26 December 2023
- Publication Type Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model 2011-01-28 Paper...10 bytes (16 words) - 01:00, 25 September 2023
- Simulations of Heath–Jarrow–Morton Models with Jumps 2008-01-31 Paper A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 2007-06-05...10 bytes (18 words) - 09:11, 7 October 2023
- calibrate the normal SABR model 2013-09-26 Paper The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options...10 bytes (19 words) - 18:50, 9 December 2023
- estimation of all parameters in a discrete time random field HJM type interest rate model 2014-01-14 Paper Sharp upper bounds for the deviations from the...10 bytes (23 words) - 12:59, 12 December 2023
- Paper A Lévy HJM multiple-curve model with application to CVA computation 2018-09-19 Paper Book Reviews 2017-08-07 Paper Affine LIBOR Models with Multiple...10 bytes (16 words) - 09:56, 6 October 2023
- time 2014-09-26 Paper Monte Carlo Euler approximations of HJM term structure financial models 2013-06-26 Paper Interest rate theory and geometry 2010-11-12...10 bytes (17 words) - 01:39, 12 December 2023
- stochastic volatility model 2014-12-19 Paper https://portal.mardi4nfdi.de/entity/Q3109471 2012-01-27 Paper A Poisson-Gaussian model to price European options...10 bytes (16 words) - 13:58, 6 October 2023
- alternative approach on the existence of affine realizations for HJM term structure models 2011-05-06 Paper Jump-diffusions in Hilbert spaces: existence,...10 bytes (16 words) - 02:14, 10 December 2023
- Paper Pricing forward-start options in the HJM framework; evidence from the Polish market 2002-08-27 Paper CED model for asset returns and fractal market hypothesis...10 bytes (17 words) - 15:27, 12 December 2023
- Publication Date of Publication Type Model‐free portfolio theory: A rough path approach 2024-01-31 Paper Risk measures under model uncertainty: a Bayesian viewpoint...10 bytes (16 words) - 16:32, 6 October 2023
