Pages that link to "Item:Q1425484"
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The following pages link to Affine processes and applications in finance (Q1425484):
Displaying 50 items.
- Risk-minimization for life insurance liabilities with basis risk (Q253099) (← links)
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Affine realizations with affine state processes for stochastic partial differential equations (Q271881) (← links)
- On convergence properties of infinitesimal generators of scaled multitype CBI processes (Q282123) (← links)
- A general HJM framework for multiple yield curve modelling (Q287657) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Affine processes on symmetric cones (Q300276) (← links)
- Statistical inference for critical continuous state and continuous time branching processes with immigration (Q314552) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Moment formulas for multitype continuous state and continuous time branching process with immigration (Q325909) (← links)
- Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- A tractable LIBOR model with default risk (Q356479) (← links)
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485) (← links)
- The sector constants of continuous state branching processes with immigration (Q425729) (← links)
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\) (Q449230) (← links)
- Continuous equilibrium in affine and information-based capital asset pricing models (Q470686) (← links)
- Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (Q477067) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- Simple examples of pure-jump strict local martingales (Q491181) (← links)
- On matching diffusions, Laplace transforms and partial differential equations (Q492943) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- Spectral estimation of the Lévy density in partially observed affine models (Q544516) (← links)
- A characterization of the martingale property of exponentially affine processes (Q550153) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249) (← links)
- Affine processes are regular (Q662821) (← links)
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
- Polynomial processes and their applications to mathematical finance (Q693032) (← links)
- Branching processes with immigration and related topics (Q719983) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- A state predictor for continuous-time stochastic systems (Q730105) (← links)
- Valuation of contingent claims with mortality and interest rate risks (Q732668) (← links)
- Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- Existence of limiting distribution for affine processes (Q777128) (← links)
- Sup-convolutions of HARA utilities in the affine term structure (Q816443) (← links)
- Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
- Almost sure, \(L_1\)- and \(L_2\)-growth behavior of supercritical multi-type continuous state and continuous time branching processes with immigration (Q828638) (← links)
- Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
- A fluctuation type limit theorem for Jiřina processes with immigration (Q839769) (← links)
- Stability analysis of Riccati differential equations related to affine diffusion processes (Q847047) (← links)
- Multi-layer model of correlated energy prices (Q847241) (← links)
