Pages that link to "Item:Q3125791"

The following pages link to VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE (Q3125791):

Displaying 49 items.

• On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
• American stochastic volatility call option pricing: a lattice based approach (Q375256) (← links)
• A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
• A binomial approximation for two-state Markovian HJM models (Q539146) (← links)
• A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
• Interest rate theory and geometry (Q604623) (← links)
• Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) (← links)
• Duration, factor sensitivities, and interest rate Greeks (Q665789) (← links)
• Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
• Existence of Lévy term structure models (Q928496) (← links)
• A preference free partial differential equation for the term structure of interest rates (Q1000411) (← links)
• An extended Heath-Jarrow-Morton risk-neutral drift (Q1003883) (← links)
• A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model (Q1274470) (← links)
• The stochastic string model as a unifying theory of the term structure of interest rates (Q1619783) (← links)
• Explosion in the quasi-Gaussian HJM model (Q1650943) (← links)
• Nash estimates and upper bounds for non-homogeneous Kolmogorov equations (Q1681863) (← links)
• Small-noise limit of the quasi-Gaussian log-normal HJM model (Q1727938) (← links)
• A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models (Q1887921) (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
• A continuous dependence result for ultraparabolic equations in option pricing (Q2381921) (← links)
• Pointwise estimates for a class of non-homogeneous Kolmogorov equations (Q2471757) (← links)
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor (Q2643675) (← links)
• ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS (Q3191835) (← links)
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
• Factors' correlation in the Heath-Jarrow-Morton interest rate model (Q3552635) (← links)
• Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (Q4216119) (← links)
• Volatility structures of forward rates and the dynamics of the term structure: a multifactor case (Q4254786) (← links)
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities (Q4342181) (← links)
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (Q4541546) (← links)
• Markov interest rate models (Q4541579) (← links)
• A numerical PDE approach for pricing callable bonds (Q4541601) (← links)
• Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
• Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942) (← links)
• Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments (Q4689911) (← links)
• Markovian spot rate dynamics with stochastic volatility structures (Q4994411) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• Bond market completeness under stochastic strings with distribution-valued strategies (Q5068080) (← links)
• Real-world jump-diffusion term structure models (Q5189712) (← links)
• EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL (Q5696841) (← links)
• On accurate and provably efficient GARCH option pricing algorithms (Q5697325) (← links)
• Efficient Factor Models For Yield Curve Dynamics (Q5715999) (← links)
• Interest Rate Risk Management (Q5718251) (← links)
• Term Structure Models: A Perspective from the Long Rate (Q5718383) (← links)
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356) (← links)
• Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
• Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)