The following pages link to (Q3530675):
Displaying 39 items.
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes (Q297142) (← links)
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
- Meromorphic Lévy processes and their fluctuation identities (Q433907) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- On matching diffusions, Laplace transforms and partial differential equations (Q492943) (← links)
- An explicit and positivity preserving numerical scheme for the mean reverting CEV model (Q495866) (← links)
- A new numerical scheme for the CIR process (Q500385) (← links)
- Density of generalized Verhulst process and Bessel process with constant drift (Q507027) (← links)
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945) (← links)
- Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions (Q536242) (← links)
- Horizon dependence of utility optimizers in incomplete models (Q693036) (← links)
- First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
- Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
- An expansion in the model space in the context of utility maximization (Q1709603) (← links)
- An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
- Counterparty risk valuation on credit-linked notes under a Markov chain framework (Q2036124) (← links)
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball (Q2102112) (← links)
- Required capital for long-run risks (Q2102860) (← links)
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition (Q2120590) (← links)
- Asset prices in segmented and integrated markets (Q2211344) (← links)
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828) (← links)
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump (Q2315818) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
- Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4607058) (← links)
- Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
- Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models (Q4971983) (← links)
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (Q5367499) (← links)
- From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable (Q5369323) (← links)
- Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model (Q5379238) (← links)
- Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
- Interval Laplace transform and its application in production inventory (Q6182960) (← links)
