Pages that link to "Item:Q3502129"
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The following pages link to SOLVABLE AFFINE TERM STRUCTURE MODELS (Q3502129):
Displayed 35 items.
- Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
- Affine processes on symmetric cones (Q300276) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
- A forward-backward SDE approach to affine models (Q1932521) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (Q2033711) (← links)
- A consistent stochastic model of the term structure of interest rates for multiple tenors (Q2191452) (← links)
- Linearization of a matrix Riccati equation associated to an optimal control problem (Q2247880) (← links)
- A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Stochastic Jacobian and Riccati ODE in affine term structure models (Q2477604) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Riding on the smiles (Q2866376) (← links)
- Affine Diffusions with Non-Canonical State Space (Q2905356) (← links)
- The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
- A multifactor volatility Heston model (Q3539544) (← links)
- THE WISHART SHORT RATE MODEL (Q4909141) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
- VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
- Continuous Time Wishart Process for Stochastic Risk (Q5485103) (← links)
- Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
- Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators (Q5746975) (← links)
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model (Q6199669) (← links)