Pages that link to "Item:Q2449312"

The following pages link to Affine diffusions and related processes: simulation, theory and applications (Q2449312):

Displaying 35 items.

• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators (Q308405) (← links)
• Maximum likelihood estimation for Wishart processes (Q326826) (← links)
• Large deviations for the Ornstein-Uhlenbeck process without tears (Q511547) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data (Q2058882) (← links)
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
• On the boundary behavior of multi-type continuous-state branching processes with immigration (Q2064884) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach (Q2168629) (← links)
• Geometric ergodicity of affine processes on cones (Q2182630) (← links)
• Existence of densities for multi-type continuous-state branching processes with immigration (Q2196373) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• On conditional least squares estimation for affine diffusions based on continuous time observations (Q2417987) (← links)
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935) (← links)
• Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients (Q2671654) (← links)
• Closed-form formula for conditional moments of generalized nonlinear drift CEV process (Q2671852) (← links)
• Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• Weak approximations of Wright-Fisher equation (Q5040821) (← links)
• Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations (Q5104489) (← links)
• A new methodology to create valid time-dependent correlation matrices <i>via</i> isospectral flows (Q5110266) (← links)
• On the anisotropic stable JCIR process (Q5119398) (← links)
• Lifting the Heston model (Q5120731) (← links)
• Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
• Variational Formulation of American Option Prices in the Heston Model (Q5227407) (← links)
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
• On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
• On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances (Q6046191) (← links)
• Coupling methods and exponential ergodicity for two‐factor affine processes (Q6047317) (← links)
• The Laplace transform of the integrated Volterra Wishart process (Q6054411) (← links)
• Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556) (← links)
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks (Q6489108) (← links)