Pages that link to "Item:Q930271"
From MaRDI portal
The following pages link to Term-structure models. A graduate course (Q930271):
Displaying 50 items.
- 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)
- White noise calculus in applications to stochastic equations in Hilbert spaces (Q341449) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
- Continuous equilibrium in affine and information-based capital asset pricing models (Q470686) (← links)
- Stochastic mortality models: an infinite-dimensional approach (Q471180) (← links)
- Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- Pricing basket default swaps in a tractable shot noise model (Q553040) (← links)
- Heath-Jarrow-Morton-Musiela equation with Lévy perturbation (Q713347) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Dependent interest and transition rates in life insurance (Q743157) (← links)
- Correction to: ``No-arbitrage commodity option pricing with market manipulation'' (Q829342) (← links)
- General dynamic term structures under default risk (Q1615894) (← links)
- Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
- Quantile hedging pension payoffs: an analysis of investment incentives (Q1689028) (← links)
- Pricing bond options in emerging markets: a case study (Q1690978) (← links)
- Affine processes with compact state space (Q1748933) (← links)
- Forward rate models with linear volatilities (Q1761457) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- Affine forward variance models (Q1999593) (← links)
- Credit derivative evaluation and CVA under the benchmark approach (Q2013322) (← links)
- On a class of stochastic partial differential equations with multiple invariant measures (Q2028644) (← links)
- A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
- Markov-modulated affine processes (Q2080289) (← links)
- Term structure modeling under volatility uncertainty (Q2120604) (← links)
- Valuation of caps and swaptions under a stochastic string model (Q2141896) (← links)
- Random integrodifferential equations of Volterra type with delay: attractiveness and stability (Q2148079) (← links)
- No-arbitrage commodity option pricing with market manipulation (Q2190069) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- A pure-jump mean-reverting short rate model (Q2209739) (← links)
- Infinite dimensional affine processes (Q2229682) (← links)
- The value of knowing the market price of risk (Q2241058) (← links)
- A continuous-time stochastic model for the mortality surface of multiple populations (Q2273987) (← links)
- Linear credit risk models (Q2282965) (← links)
- Affine Volterra processes (Q2286463) (← links)
- Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
- Affine processes under parameter uncertainty (Q2296126) (← links)
- Affine processes beyond stochastic continuity (Q2299583) (← links)
- Analytical validation formulas for best estimate calculation in traditional life insurance (Q2303991) (← links)
- Term structure modelling for multiple curves with stochastic discontinuities (Q2308181) (← links)
- Application of Bayesian penalized spline regression for internal modeling in life insurance (Q2323667) (← links)
- Exponential moments of affine processes (Q2341630) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- Delta hedging in discrete time under stochastic interest rate (Q2349604) (← links)
- Pricing and hedging of inflation-indexed bonds in an affine framework (Q2349617) (← links)
