Pages that link to "Item:Q3161734"

The following pages link to TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734):

Displaying 37 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
• Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
• Dynamic credit investment in partially observed markets (Q889624) (← 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)
• General dynamic term structures under default risk (Q1615894) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453) (← links)
• Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
• A family of density expansions for Lévy-type processes (Q2258531) (← links)
• Parametric inference for discretely observed subordinate diffusions (Q2417988) (← 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)
• TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
• TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
• Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
• Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• Static replication of barrier-type options via integral equations (Q4991074) (← links)
• Modelling electricity prices: a time change approach (Q5001192) (← links)
• CDS calibration under an extended JDCEV model (Q5031741) (← links)
• Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178) (← links)
• PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (Q5242954) (← links)
• Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
• Spectral representation of transition density of Fisher–Snedecor diffusion (Q5411909) (← links)
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704) (← links)
• PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
• PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS (Q5420699) (← links)
• CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702) (← links)
• Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)