Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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(only showing first 100 items - show all)- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- Continuous equilibrium in affine and information-based capital asset pricing models
- Stochastic mortality models: an infinite-dimensional approach
- Dynamic CDO term structure modeling
- Affine processes on positive semidefinite matrices
- White noise calculus in applications to stochastic equations in Hilbert spaces
- Correction to: ``No-arbitrage commodity option pricing with market manipulation
- Discount models
- Term structure modeling under volatility uncertainty
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Existence of optimal consumption strategies in markets with longevity risk
- The Markov-switching jump diffusion LIBOR market model
- A mean-field extension of the LIBOR market model
- An Overview of Interest Rate Theory
- Affine processes beyond stochastic continuity
- Pricing basket default swaps in a tractable shot noise model
- Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
- Portfolio management with benchmark related incentives under mean reverting processes
- Interest rate modelling.
- Infinite dimensional affine processes
- A unified approach to pricing and risk management of equity and credit risk
- Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
- Quantile hedging pension payoffs: an analysis of investment incentives
- Pricing bond options in emerging markets: a case study
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- Shot-noise driven multivariate default models
- Evaluating discrete dynamic strategies in affine models
- The Formation of Financial Bubbles in Defaultable Markets
- Markov-modulated affine processes
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- Forward rate models with linear volatilities
- The value of knowing the market price of risk
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Density approximations for multivariate affine jump-diffusion processes
- General dynamic term structures under default risk
- Affine processes with compact state space
- No-arbitrage commodity option pricing with market manipulation
- Asymptotic expansion for some local volatility models arising in finance
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- A continuous-time stochastic model for the mortality surface of multiple populations
- On a class of stochastic partial differential equations with multiple invariant measures
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- The LIBOR market model: a Markov-switching jump diffusion extension
- Affine LIBOR models with multiple curves: theory, examples and calibration
- Term structure modelling for multiple curves with stochastic discontinuities
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- A generalized intensity-based framework for single-name credit risk
- A direct LU solver for pricing American bond options under Hull-White model
- Affine Volterra processes
- Affine variance swap curve models
- Pricing and hedging of inflation-indexed bonds in an affine framework
- Exponential moments of affine processes
- A noisy principal component analysis for forward rate curves
- Linear credit risk models
- Affine processes under parameter uncertainty
- Modelling the Uruguayan debt through Gaussians models
- Dependent interest and transition rates in life insurance
- Efficient long-dated swaption volatility approximation in the forward-LIBOR model
- Affine representations of fractional processes with applications in mathematical finance
- Credit derivative evaluation and CVA under the benchmark approach
- A cyclical square-root model for the term structure of interest rates
- No Arbitrage Theory for Bond Markets
- Social discounting and the long rate of interest
- A Kalman particle filter for online parameter estimation with applications to affine models
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Affine forward variance models
- Stripping the Swiss discount curve using kernel ridge regression
- Reduced-form setting under model uncertainty with non-linear affine intensities
- Nonparametric Bayesian volatility learning under microstructure noise
- Finance, economics, and mathematics. With a foreword by Robert C. Merton
- Old and new approaches to LIBOR modeling
- Analytical validation formulas for best estimate calculation in traditional life insurance
- The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- Optimal cross-currency mortgage decisions
- Bond indifference prices
- Valuation of caps and swaptions under a stochastic string model
- Generalized Feynman-Kac formula under volatility uncertainty
- Price impact on term structure
- Efficient exposure computation by risk factor decomposition
- A multi-curve HJM factor model for pricing and risk management
- A pure-jump mean-reverting short rate model
- Issues with the Smith-Wilson method
- An elementary introduction to stochastic interest rate modeling.
- CBI-time-changed Lévy processes
- Application of Bayesian penalized spline regression for internal modeling in life insurance
- Optimal times to buy and sell a home
- The joint mortality of couples in continuous time
- Fed funds futures variance futures
- Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
- A Vasicek-type short rate model with memory effect
- Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
- Term structure modeling with overnight rates beyond stochastic continuity
- Interest rate modeling with generalized Langevin equations
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