Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
The analytical formulas for conditional expectations of path-dependent product of polynomial and exponential functions based on the extended Cox-Ingersoll-Ross process (ECIRP) have been proposed via directly extending the recent research published in 2019 by the first three current authors. An application of the authors' proposed formulas is given in finance and is illustrated by deriving analytical pricing formula for interest rate swap, namely, arrears swap under the ECIRP.
- A closed-form formula for the conditional moments of the extended CIR process
- A dynamic programming approach for pricing options embedded in bonds
- A general characterization of one factor affine term structure models
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model
- A theory of the term structure of interest rates
- Affine diffusion processes: theory and applications
- Affine diffusions and related processes: simulation, theory and applications
- An equilibrium characterization of the term structure
- An Intertemporal General Equilibrium Model of Asset Prices
- Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Boundary values and finite difference methods for the single factor term structure equation
- Calibration of the Extended CIR Model
- scientific article; zbMATH DE number 4020069 (Why is no real title available?)
- Interest rate swaps under CIR.
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Modified finite integration method using Chebyshev polynomial for solving linear differential equations
- Pricing interest-rate-derivative securities
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- Stochastic processes with applications to finance
- Term-structure models. A graduate course
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- Time-inhomogeneous affine processes
- Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case
- Closed-form formula for conditional moments of generalized nonlinear drift CEV process
- CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
- scientific article; zbMATH DE number 7534789 (Why is no real title available?)
- A closed-form formula for the conditional moments of the extended CIR process
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