The following pages link to Two singular diffusion problems (Q2649707):
Displaying 50 items.
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION (Q61344) (← links)
- Emergence of Freidlin-Wentzell's transmission conditions as a result of a singular perturbation of a semigroup (Q284635) (← links)
- A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
- Change detection in the Cox-Ingersoll-Ross model (Q308414) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- On Hille-type approximation of degenerate semigroups of operators (Q331150) (← links)
- Book review of: C. L. Epstein and R. Mazzeo, Degenerate diffusion operators arising in population biology (Q335010) (← links)
- A copula-based method to build diffusion models with prescribed marginal and serial dependence (Q340123) (← links)
- Explicit density approximations for local volatility models using heat kernel expansions (Q340130) (← links)
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
- Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms (Q413962) (← links)
- Hysteresis effects under CIR interest rates (Q418081) (← links)
- Simulation of the CEV process and the local martingale property (Q419443) (← links)
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates (Q432394) (← links)
- From diffusions on graphs to Markov chains via asymptotic state lumping (Q451766) (← links)
- Multiscale stochastic modelling of gene expression (Q455759) (← links)
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- Analytic semigroups and some degenerate evolution equations defined on domains with corners (Q480004) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945) (← links)
- Bias in estimating multivariate and univariate diffusions (Q530603) (← links)
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- Estimation of risk-neutral density surfaces (Q645506) (← links)
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- Convex Sobolev inequalities derived from entropy dissipation (Q717439) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- A state predictor for continuous-time stochastic systems (Q730105) (← links)
- Hard harvesting of a stochastically changing population (Q739262) (← links)
- Numerical simulation for degenerate diffusions (Q749175) (← links)
- Über die Anwendung der Laplace-Transformation auf Randwertprobleme (Q768447) (← links)
- Classical diffusion processes and total positivity (Q774320) (← links)
- Liquidation risk in insurance under contemporary regulatory frameworks (Q784414) (← links)
- Coalescing and noncoalescing stochastic flows in \(R_ 1\) (Q791968) (← links)
- On the Cauchy-Dirichlet problem for the singular parabolic equation \(u_{xx}-(1/x)u_ x-u_ t=0\). (Q798866) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Generating integrable one dimensional driftless diffusions (Q857067) (← links)
- Linear one-step processes with artificial boundaries (Q867039) (← links)
- Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump (Q886317) (← links)
- 3D extreme value analysis for stock return, interest rate and speed of mean reversion (Q896795) (← links)
- Fixation in haploid populations exhibiting density dependence. II: The quasi-neutral case (Q935963) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation (Q947921) (← links)
- On valuation of derivative securities: A Lie group analytical approach. (Q954574) (← links)
- Fundamental solutions to Kolmogorov equations via reduction to canonical form (Q955495) (← links)
