Pages that link to "Item:Q3395727"

The following pages link to On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727):

Displaying 41 items.

• Markovian forward-backward stochastic differential equations and stochastic flows (Q360694) (← links)
• Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
• Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
• Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
• Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
• On stability of the Markov-modulated skew CIR process (Q899651) (← links)
• Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors (Q903675) (← links)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
• Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (Q2015659) (← links)
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market (Q2064422) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• Convertible bond valuation with regime switching (Q2145547) (← links)
• Regime switching affine processes with applications to finance (Q2308173) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach (Q2446009) (← links)
• Weak convergence of Markov-modulated diffusion processes with rapid switching (Q2452781) (← links)
• Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
• Markov-modulated Ornstein–Uhlenbeck processes (Q2806355) (← links)
• PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530) (← links)
• PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS (Q2874734) (← links)
• Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
• Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
• A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework (Q3005810) (← links)
• The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework (Q3385434) (← links)
• An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
• The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477) (← links)
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (Q4563742) (← links)
• Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
• Explicit Computations for Some Markov Modulated Counting Processes (Q4976494) (← links)
• Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS (Q5111484) (← links)
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (Q5234665) (← links)
• Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities (Q5391298) (← links)
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
• PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
• Pricing CDS index tranches under thinning-dependence structure with regime switching (Q6582033) (← links)
• Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (Q6656032) (← links)