Nonparametric Pricing of Interest Rate Derivative Securities
From MaRDI portal
Publication:4883102
Recommendations
Cited in
(only showing first 100 items - show all)- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Spectral methods for identifying scalar diffusions
- Estimating the parameters of stochastic differential equations
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Dynamic equilibrium and volatility in financial asset markets
- An integrated stock-bond portfolio optimization model
- Nonparametric option pricing under shape restrictions
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Estimation by simulation of monotone dynamical systems
- Financial options and statistical prediction intervals
- Nonparametric estimation of American options' exercise boundaries and call prices
- Nonparametric confidence intervals of instantaneous forward rates
- Short rate nonlinearities and regime switches.
- Nonparametric statistical methods and the pricing of derivative securities
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- Pricing of equity indexed annuity under fractional Brownian motion model
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Nonparametric estimation of scalar diffusions based on low frequency data
- Diffusion-type models with given marginal distribution and autocorrelation function
- Financial econometrics: Past developments and future challenges
- Notes on financial econometrics
- Asymptotic nonequivalence of GARCH models and diffusions
- The surprise element: Jumps in interest rates.
- A non-parametric approach to pricing and hedging derivative securities: With an application to LIFFE data
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Conservative delta hedging.
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Drift and diffusion function specification for short-term interest rates
- Parameter estimation and model testing for Markov processes via conditional characteristic functions
- Nonparametric risk management and implied risk aversion
- American options with stochastic dividends and volatility: a nonparametric investigation
- A data-driven framework for consistent financial valuation and risk measurement
- Efficient estimation for the volatility of stochastic interest rate models
- Maximum likelihood estimation of diffusions by continuous time Markov chain
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics
- An application of nonparametric volatility estimators to option pricing
- A selective overview of nonparametric methods in financial econometrics
- Comment: A selective overview of nonparametric methods in financial econometrics
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- Kernel estimation of Greek weights by parameter randomization
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- Flexible term structure estimation: Which method is preferred?
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Structural estimation of jump-diffusion processes in macroeconomics
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Diffusion copulas: identification and estimation
- Transition densities for interest rate and other nonlinear diffusions
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Econometric specification of stochastic discount factor models
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Construction of peculiar diffusion process having Gaussian marginals
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Measuring expectations in options markets: an application to the S\&P500 index
- Nonparametric estimation of volatility function with variable bandwidth parameter
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Local multiplicative bias correction for asymmetric kernel density estimators
- Testing the parametric specification of the diffusion function in a diffusion process
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Estimation of partial differential equations with applications in finance
- Specification testing in discretized diffusion models: theory and practice
- Modelling animal growth in random environments: An application using nonparametric estima\-tion
- Implied bond and derivative prices based on non-linear stochastic interest rate models
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- A multifactor, nonlinear, continuous-time model of interest rate votality
- Derivative pricing based on the exchange rate in a target zone with realignment
- Unstable volatility: the break-preserving local linear estimator
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Double Kernel Estimation of Sensitivities
- A Nonparametric Dimension Test of the Term Structure
- NONPARAMETRIC STUDY OF SOLUTIONS OF DIFFERENTIAL EQUATIONS
- Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing
- Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations
- Nonparametric Methods in Continuous Time Model Specification
- On the construction of boundary preserving numerical schemes
- Semiparametric diffusion estimation and application to a stock market index
- Nonparametric modelling of interest rates.
- Reweighted functional estimation of diffusion models
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Drift estimation of generalized security price processes from high frequency derivative prices
- Goodness-of-fit test for stochastic volatility models
- Financial applications of bivariate Markov processes
- A necessary characteristic equation of diffusion processes having Gaussian marginals
- Stein's method for invariant measures of diffusions via Malliavin calculus
- What drives short rate dynamics? A functional gradient descent approach
- Estimating the diffusion coefficient function for a diversified world stock index
- scientific article; zbMATH DE number 1487971 (Why is no real title available?)
This page was built for publication: Nonparametric Pricing of Interest Rate Derivative Securities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4883102)
