Pages that link to "Item:Q375236"

The following pages link to Exact solutions for bond and option prices with systematic jump risk (Q375236):

Displaying 25 items.

• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility (Q291114) (← links)
• Discrete-time bond and option pricing for jump-diffusion processes (Q375257) (← links)
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
• A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions (Q929715) (← links)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
• Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
• A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model (Q1274470) (← links)
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (Q1398974) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes (Q1631415) (← links)
• The role of the risk-neutral jump size distribution in single-factor interest rate models (Q1668933) (← links)
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117) (← links)
• Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
• The surprise element: Jumps in interest rates. (Q1858907) (← links)
• Bayesian estimation of the stochastic volatility model with double exponential jumps (Q2047037) (← links)
• Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump (Q3512544) (← links)
• Bond and option pricing for interest rate model with clustering effects (Q4554475) (← links)
• The calibration of volatility for option pricing models with jump diffusion processes (Q4622837) (← links)
• Testing Distributions of Stochastically Generated Yield Curves (Q4661706) (← links)
• Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility (Q4689054) (← links)
• A BSDE approach for bond pricing under interest rate models with self-exciting jumps (Q5078537) (← links)
• Real-world jump-diffusion term structure models (Q5189712) (← links)
• A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps (Q5440089) (← links)