Pages that link to "Item:Q2996525"
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The following pages link to On the Heston Model with Stochastic Interest Rates (Q2996525):
Displaying 50 items.
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock (Q500285) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
- Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
- A closed-form formula for the conditional moments of the extended CIR process (Q896797) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- Optimal portfolio and consumption rule with a CIR model under HARA utility (Q1655923) (← links)
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704) (← links)
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate (Q1743938) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
- Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
- Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
- Heston-GA hybrid option pricing model based on ResNet50 (Q2088431) (← links)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
- An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model (Q2100206) (← links)
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272) (← links)
- Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359) (← links)
- Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations (Q2127812) (← links)
- Stochastic pricing formulation for hybrid equity warrants (Q2129745) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
- Feedback optimal controllers for the Heston model (Q2187328) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM (Q2203803) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model (Q2322431) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463) (← links)
- A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
- Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
- Pricing European options on deferred annuities (Q2442531) (← links)
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (Q2513440) (← links)
- Closed-form formulae for European options under three-factor models (Q2660490) (← links)
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process (Q2671852) (← links)
- Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
- ON THE HESTON MODEL WITH STOCHASTIC CORRELATION (Q2828053) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
