Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displayed 50 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- A trajectorial interpretation of Doob's martingale inequalities (Q363856) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- Multistage stochastic programming in strategic telecommunication network planning (Q373205) (← links)
- Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789) (← links)
- Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty (Q377790) (← links)
- Pricing maturity guarantee under a refracted Brownian motion (Q384225) (← links)
- Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
- Stability of central finite difference schemes for the Heston PDE (Q415346) (← links)
- On identification of the threshold diffusion processes (Q421414) (← links)
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- Properties of optimal smooth functions in additive models for hedging multivariate derivatives (Q436951) (← links)
- On valuing and hedging European options when volatility is estimated directly (Q439467) (← links)
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
- On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
- Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
- A closed-form solution for the continuous-time consumption model with endogenous labor income (Q604679) (← links)
- The worst case for real options (Q613589) (← links)
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI (Q635972) (← links)
- Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
- A Markov-modulated model for stocks paying discrete dividends (Q659087) (← links)
- Optimal design of profit sharing rates by FFT (Q659254) (← links)
- On the robustness of longevity risk pricing (Q661262) (← links)
- Irreversible investment and discounting: an arbitrage pricing approach (Q666449) (← links)
- Optimal algorithms for \(k\)-search with application in option pricing (Q834594) (← links)
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (Q836062) (← links)
- Is Brownian motion sensitive to geometry fluctuations? (Q930360) (← links)
- Analytic crossing probabilities for certain barriers by Brownian motion (Q939076) (← links)
- From discrete to continuous time evolutionary finance models (Q964562) (← links)
- Convenience yields (Q965894) (← links)
- The valuation of convertible bonds with numeraire changes (Q966534) (← links)
- Stochastic integral with respect to set-valued square integrable martingales (Q984826) (← links)
- A secret to create a complete market from an incomplete market (Q990426) (← links)
- On first passage times of a hyper-exponential jump diffusion process (Q1015316) (← links)
- The random projection method in goodness of fit for functional data (Q1020143) (← links)
- Leverage, options liabilities, and corporate bond pricing (Q1029234) (← links)
- On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models (Q1042620) (← links)
- Solution of nonlinear stochastic equations with a generator of a semigroup discontinuous at zero (Q1759182) (← links)
- Portfolio selection of a closed-end mutual fund (Q1935935) (← links)
- Unifying exotic option closed formulas (Q1937834) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model (Q1946533) (← links)
- Dynamic asset allocation under VaR constraint with stochastic interest rates (Q2267297) (← links)
- Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation (Q2271410) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- Interest rate term structure modelling (Q2275618) (← links)
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076) (← links)
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (Q2441319) (← links)
- Efficient Monte Carlo simulation for integral functionals of Brownian motion (Q2442860) (← links)