Pages that link to "Item:Q2448696"
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The following pages link to Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696):
Displaying 24 items.
- Additive subordination and its applications in finance (Q309162) (← links)
- Jump diffusion transition intensities in life insurance and disability annuity (Q495519) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Analytical representations for the basic affine jump diffusion (Q1785484) (← links)
- A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453) (← links)
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
- Endogenous current coupons (Q2412391) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← links)
- A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA (Q4555855) (← links)
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS (Q4595298) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
- Point processes subordinated to compound Poisson processes (Q5351666) (← links)
- Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
- Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
