Pages that link to "Item:Q2757313"

The following pages link to On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models (Q2757313):

Displaying 38 items.

• Forecasting the term structure of government bond yields (Q94953) (← links)
• Affine realizations with affine state processes for stochastic partial differential equations (Q271881) (← links)
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
• Optimal portfolios in commodity futures markets (Q468419) (← links)
• A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities (Q475326) (← links)
• A theory of bond portfolios (Q558672) (← links)
• Interest rate theory and geometry (Q604623) (← links)
• Duration, factor sensitivities, and interest rate Greeks (Q665789) (← links)
• On the equivalence of a class of affine term structure models (Q666298) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
• Consistent variance curve models (Q854272) (← links)
• Existence of Lévy term structure models (Q928496) (← links)
• Convexity theory for the term structure equation (Q928497) (← links)
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328) (← links)
• Long-term factorization in Heath-Jarrow-Morton models (Q1650942) (← links)
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Q1709604) (← links)
• Existence of invariant manifolds for stochastic equations in infinite dimension (Q1869055) (← links)
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models (Q1887921) (← links)
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
• Invariance of closed convex cones for stochastic partial differential equations (Q2408615) (← links)
• Foundations of the theory of semilinear stochastic partial differential equations (Q2444211) (← links)
• Hypoellipticity in infinite dimensions and an application in interest rate theory (Q2572392) (← links)
• Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise (Q2660761) (← links)
• On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves (Q3005811) (← links)
• A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (Q3067162) (← links)
• ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS (Q3191835) (← links)
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
• Real-World Forward Rate Dynamics With Affine Realizations (Q3448331) (← links)
• CONSISTENT YIELD CURVE PREDICTION (Q4563766) (← links)
• ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS (Q5190055) (← links)
• CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES (Q5245891) (← links)
• An almost Markovian LIBOR market model calibrated to caps and swaptions (Q5247275) (← links)
• Term Structure Models with Parallel and Proportional Shifts (Q5310697) (← links)
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES (Q5427664) (← links)
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES (Q5483440) (← links)
• PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD (Q5487841) (← links)
• In memoriam: Tomas Björk (1947--2021). On his career and beyond (Q6074004) (← links)