Pages that link to "Item:Q3421826"
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The following pages link to SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826):
Displaying 33 items.
- On identification of the threshold diffusion processes (Q421414) (← links)
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve (Q555027) (← links)
- Quasi-likelihood estimation of a threshold diffusion process (Q888343) (← links)
- Some properties of doubly skewed CIR processes (Q891388) (← links)
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media (Q1619554) (← links)
- Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion (Q1683945) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- Statistical estimation of the oscillating Brownian motion (Q1750094) (← links)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations (Q2141576) (← links)
- Multilayer heat equations and their solutions via oscillating integral transforms (Q2145027) (← links)
- On the transition density and first hitting time distributions of the doubly skewed CIR process (Q2241619) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Discretionary stopping of stochastic differential equations with generalised drift (Q2279339) (← links)
- Skew CIR process, conditional characteristic function, moments and bond pricing (Q2318215) (← links)
- First hitting times for doubly skewed Ornstein-Uhlenbeck processes (Q2339552) (← links)
- Arbitrage in skew Brownian motion models (Q2427806) (← links)
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
- Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020) (← links)
- THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE (Q2806367) (← links)
- A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
- EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT (Q5281722) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients (Q5429606) (← links)
- Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
- Two consistent estimators for the skew Brownian motion (Q5881039) (← links)
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? (Q6170144) (← links)
- Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations (Q6185131) (← links)
- Testing for Threshold Diffusion (Q6616608) (← links)
- Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes (Q6633190) (← links)
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing (Q6639523) (← links)
- Weak Approximation for a Black-Scholes Type Regime Switching Model (Q6671994) (← links)
