Pages that link to "Item:Q1883335"
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The following pages link to Stochastic calculus for finance. II: Continuous-time models. (Q1883335):
Displaying 50 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- The hexanomial lattice for pricing multi-asset options (Q272652) (← links)
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation (Q282266) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- A new model for realistic random perturbations of stochastic oscillators (Q288749) (← links)
- Analysis on singular spaces: Lie manifolds and operator algebras (Q288821) (← links)
- Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736) (← links)
- Free boundary problem of Barenblatt equation in stochastic control (Q316890) (← links)
- Optimal search for parameters in Monte Carlo simulation for derivative pricing (Q321025) (← links)
- A tractable interest rate model with explicit monetary policy rates (Q322788) (← links)
- Investment timing under hybrid stochastic and local volatility (Q340490) (← links)
- White noise calculus in applications to stochastic equations in Hilbert spaces (Q341449) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- A trajectorial interpretation of Doob's martingale inequalities (Q363856) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- Multistage stochastic programming in strategic telecommunication network planning (Q373205) (← links)
- Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789) (← links)
- Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty (Q377790) (← links)
- Pricing maturity guarantee under a refracted Brownian motion (Q384225) (← links)
- Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
- Stability of central finite difference schemes for the Heston PDE (Q415346) (← links)
- On identification of the threshold diffusion processes (Q421414) (← links)
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- Properties of optimal smooth functions in additive models for hedging multivariate derivatives (Q436951) (← links)
- On valuing and hedging European options when volatility is estimated directly (Q439467) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- Ratchet consumption over finite and infinite planning horizons (Q462862) (← links)
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
- Convergence of switching diffusions (Q491929) (← links)
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework (Q508009) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
- On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
- Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
- A closed-form solution for the continuous-time consumption model with endogenous labor income (Q604679) (← links)
- The worst case for real options (Q613589) (← links)
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI (Q635972) (← links)
- Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
- A Markov-modulated model for stocks paying discrete dividends (Q659087) (← links)
- Optimal design of profit sharing rates by FFT (Q659254) (← links)
- On the robustness of longevity risk pricing (Q661262) (← links)
- Irreversible investment and discounting: an arbitrage pricing approach (Q666449) (← links)
- Pricing convertible bonds and change of probability measure (Q741859) (← links)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
- Nonlinear wave equation in an inhomogeneous medium from non-standard singular Lagrangians functional with two occurrences of integrals (Q823745) (← links)
- An actuarial approach to pricing barrier options (Q825309) (← links)
- Optimal algorithms for \(k\)-search with application in option pricing (Q834594) (← links)
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (Q836062) (← links)
- Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model (Q890155) (← links)
