Pages that link to "Item:Q4226856"

The following pages link to SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (Q4226856):

Displaying 48 items.

• A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
• Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
• Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
• Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
• Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589) (← links)
• A closed-form formula for the conditional moments of the extended CIR process (Q896797) (← links)
• Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
• The dynamics of implied volatilities: a common principal components approach (Q1417894) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• The Riccati equation in mathematical finance. (Q1599553) (← links)
• Pricing CIR yield options by conditional moment matching (Q1627807) (← links)
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (Q1697208) (← links)
• On the distribution of extended CIR model (Q1726700) (← links)
• Efficient calibration of trinomial trees for one-factor short rate models (Q1774551) (← links)
• Maximum likelihood estimation of time-inhomogeneous diffusions. (Q1871562) (← links)
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts (Q1888899) (← links)
• Recovering default risk from CDS spreads with a nonlinear filter (Q1994302) (← links)
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813) (← links)
• How to handle negative interest rates in a CIR framework (Q2101691) (← links)
• Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (Q2439860) (← links)
• A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
• Time-inhomogeneous affine processes (Q2485845) (← links)
• Asset allocation strategies in the presence of liability constraints (Q2520460) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Closed-form formula for conditional moments of generalized nonlinear drift CEV process (Q2671852) (← links)
• Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy (Q2672736) (← links)
• The square-root process and Asian options (Q3437388) (← links)
• Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations (Q3607665) (← links)
• Collapse of Detail (Q4216113) (← links)
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations (Q4223643) (← links)
• Long-Term Returns in Stochastic Interest Rate Models: Applications (Q4407163) (← links)
• Bond, futures and option evaluation in the quadratic interest rate model (Q4541527) (← links)
• A square root interest rate model fitting discrete initial term structure data (Q4541596) (← links)
• Stochastic Gradient Descent in Continuous Time (Q4607057) (← links)
• EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
• MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS (Q4653009) (← links)
• (Q5080606) (← links)
• Universal excursion and bridge shapes in ABBM/CIR/Bessel processes (Q5152588) (← links)
• Some characterizations for the CIR model with Markov switching (Q5157726) (← links)
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308) (← links)
• On the multi-dimensional portfolio optimization with stochastic volatility (Q5236140) (← links)
• Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure (Q5242234) (← links)
• Necessary and sufficient conditions for ergodicity of CIR type SDEs with Markov switching (Q5384788) (← links)
• Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment (Q6050362) (← links)
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)