Explicit form of approximate transition probability density functions of diffusion processes
From MaRDI portal
Recommendations
- A representation formula for transition probability densities of diffusions and applications
- Asymptotic properties of the norm of the extremum of a sequence of normal random functions
- scientific article; zbMATH DE number 2213959
- Transition probability density of a certain diffusion process concentrated on a finite spatial interval
- scientific article; zbMATH DE number 843982
- Explicit expression for the transition density of the solution of a stochastic diffusion equation with piecewise-constant drift coefficient
- scientific article; zbMATH DE number 4104122
- scientific article; zbMATH DE number 3405310
- Transition probabilities for some ‘special' diffusions
Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Closed-form expansion, conditional expectation, and option valuation
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- Hermite polynomial based expansion of European option prices
- Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- On the approximate maximum likelihood estimation for diffusion processes
- Regime-switching univariate diffusion models of the short-term interest rate
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- The Curious History of Faa di Bruno's Formula
- The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
- The pricing of options and corporate liabilities
- The problem of identification in finite parameter continuous time models
Cited in
(19)- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation
- Approximate maximum likelihood estimation of a threshold diffusion process
- Non parametric estimation of transition density for second-order diffusion processes
- Estimating jump-diffusions using closed-form likelihood expansions
- Transition probability density of a certain diffusion process concentrated on a finite spatial interval
- Statistical exponential formulas for homogeneous diffusion
- A representation formula for transition probability densities of diffusions and applications
- Spectral representation of transition density of Fisher–Snedecor diffusion
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- scientific article; zbMATH DE number 4056699 (Why is no real title available?)
- A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data
- Density approximations for multivariate affine jump-diffusion processes
- Closed-form approximations for diffusion densities: A path integral approach.
- An approximation of small-time probability density functions in a general jump diffusion model
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes
This page was built for publication: Explicit form of approximate transition probability density functions of diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q494367)
