Pages that link to "Item:Q4006256"

The following pages link to Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (Q4006256):

Displayed 50 items.

• Forecasting the term structure of government bond yields (Q94953) ‎ (← links)
• Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations (Q265269) ‎ (← links)
• Affine realizations with affine state processes for stochastic partial differential equations (Q271881) ‎ (← links)
• A general HJM framework for multiple yield curve modelling (Q287657) ‎ (← links)
• A cyclical square-root model for the term structure of interest rates (Q299796) ‎ (← links)
• A direct LU solver for pricing American bond options under Hull-White model (Q313650) ‎ (← links)
• A noisy principal component analysis for forward rate curves (Q319733) ‎ (← links)
• Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions (Q320262) ‎ (← links)
• A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915) ‎ (← links)
• On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) ‎ (← links)
• Valuation of commodity derivatives with an unobservable convenience yield (Q342244) ‎ (← links)
• Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) ‎ (← links)
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) ‎ (← links)
• On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) ‎ (← links)
• American stochastic volatility call option pricing: a lattice based approach (Q375256) ‎ (← links)
• American bond option pricing in one-factor dynamic term structure models (Q375259) ‎ (← links)
• A tractable yield-curve model that guarantees positive interest rates (Q375261) ‎ (← links)
• Pricing the risks of default (Q375364) ‎ (← links)
• Term structure modelling of defaultable bonds (Q375366) ‎ (← links)
• Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models (Q375376) ‎ (← links)
• Representation of infinite-dimensional forward price models in commodity markets (Q403550) ‎ (← links)
• A heat kernel approach to interest rate models (Q403855) ‎ (← links)
• Delta-gamma hedging of mortality and interest rate risk (Q414608) ‎ (← links)
• Optimal portfolios in commodity futures markets (Q468419) ‎ (← links)
• Stochastic mortality models: an infinite-dimensional approach (Q471180) ‎ (← links)
• The impact of quantitative easing on the US term structure of interest rates (Q475332) ‎ (← links)
• A stochastic control problem with delay arising in a pension fund model (Q483928) ‎ (← links)
• Prediction bias correction for dynamic term structure models (Q500507) ‎ (← links)
• Existence of optimal consumption strategies in markets with longevity risk (Q506076) ‎ (← links)
• A binomial approximation for two-state Markovian HJM models (Q539146) ‎ (← links)
• Foreign currency bubbles (Q539147) ‎ (← links)
• Recovering a time-homogeneous stock price process from perpetual option prices (Q549870) ‎ (← links)
• A theory of bond portfolios (Q558672) ‎ (← links)
• Interest rate theory and geometry (Q604623) ‎ (← links)
• Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) ‎ (← links)
• Shape factors and cross-sectional risk (Q609842) ‎ (← links)
• Pricing caps with HJM models: the benefits of humped volatility (Q613457) ‎ (← links)
• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model (Q621671) ‎ (← links)
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671) ‎ (← links)
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) ‎ (← links)
• Equity-linked pension schemes with guarantees (Q654835) ‎ (← links)
• On the pricing of longevity-linked securities (Q659196) ‎ (← links)
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) ‎ (← links)
• A linear algebraic method for pricing temporary life annuities and insurance policies (Q661219) ‎ (← links)
• New no-arbitrage conditions and the term structure of interest rate futures (Q665727) ‎ (← links)
• Correlation and the pricing of risks (Q665786) ‎ (← links)
• On the equivalence of a class of affine term structure models (Q666298) ‎ (← links)
• An integrated pricing model for defaultable loans and bonds (Q704061) ‎ (← links)
• Extensions of the Ho and Lee interest-rate model to the multinomial case (Q704072) ‎ (← links)
• On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) ‎ (← links)