Path dependent options on yields in the affine term structure model

Characteristic functions; other transforms (60E10) Probabilistic methods, stochastic differential equations (65C99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sample path properties (60G17)

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(23)

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Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
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Pricing CIR yield options by conditional moment matching
Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average
On the first hitting time density for a reducible diffusion process
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Path dependence and biases in the even swaps decision analysis method
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
Analytical survival analysis of the Ornstein-Uhlenbeck process
Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
First passage times of reflected generalized Ornstein-Uhlenbeck processes
Stochastic Gompertz model of tumour cell growth
A result on the first-passage time of an Ornstein-Uhlenbeck process
Old problems, classical methods, new solutions
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance

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