Pages that link to "Item:Q984362"
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The following pages link to Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362):
Displaying 28 items.
- A Markov copula model with regime switching and its application (Q272813) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
- Vasicek model with mixed-exponential jumps and its applications in finance and insurance (Q1712117) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- Analysis of stochastic Nicholson-type delay system under Markovian switching on patches (Q2188173) (← links)
- Regime-switching shot-noise processes and longevity bond pricing (Q2257575) (← links)
- A contagion model with Markov regime-switching intensities (Q2258911) (← links)
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814) (← links)
- On the estimation of regime-switching Lévy models (Q2691688) (← links)
- A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
- A regime-switching model with jumps and its application to bond pricing and insurance (Q2834907) (← links)
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS (Q2874734) (← links)
- An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products (Q4634823) (← links)
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640) (← links)
- Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
