AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
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Publication:5281723
DOI10.1142/S0219024917500273zbMath1396.91784MaRDI QIDQ5281723
Publication date: 26 July 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (6)
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship ⋮ LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE ⋮ A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm ⋮ A Black–Litterman approach to correlation stress testing ⋮ Analysis of drawdowns and drawups in the US$ interest-rate market ⋮ Smooth and bid-offer compliant volatility surfaces under general dividend streams
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