A dynamic programming approach for pricing options embedded in bonds
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A numerical PDE approach for pricing callable bonds
- A simple class of square-root interest-rate models
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- Affine processes and applications in finance
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Bond, futures and option evaluation in the quadratic interest rate model
- Changes of numéraire, changes of probability measure and option pricing
- Mathematics of financial markets
- PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
- Pricing interest-rate-derivative securities
- Stochastic differential equations. An introduction with applications.
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two singular diffusion problems
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- A dynamic programming approach for pricing CDS and CDS options
- Evaluating callable and putable bonds: an eigenfunction expansion approach
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- Hysteresis effects under CIR interest rates
- Measuring interest rate risk with embedded option using HPL-MC method in fuzzy and stochastic environment
- Pricing options and convertible bonds based on an actuarial approach
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- Valuation of bond options under the CIR model: some computational remarks
- A model for designing callable bonds and its solution using tabu search
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- Pricing the Chicago Board of Trade T-Bond futures
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- A spectral method for bonds
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- Long guarantees with short duration: the rolling annuity
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