Pages that link to "Item:Q4372050"
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The following pages link to Bond Market Structure in the Presence of Marked Point Processes (Q4372050):
Displayed 50 items.
- Mean-field SDEs with jumps and nonlocal integral-PDEs (Q282616) (← links)
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- Term structure modelling of defaultable bonds (Q375366) (← links)
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information (Q424343) (← links)
- Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
- Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients (Q435852) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
- A theory of bond portfolios (Q558672) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization (Q604807) (← links)
- A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671) (← links)
- Generalized integrands and bond portfolios: pitfalls and counter examples (Q627245) (← links)
- Utility indifference valuation for jump risky assets (Q651335) (← links)
- The valuation of contingent capital with catastrophe risks (Q659096) (← links)
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs (Q740666) (← links)
- A benchmark approach to risk-minimization under partial information (Q743152) (← links)
- A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
- Alternative defaultable term structure models (Q841849) (← links)
- The multifactor nature of the volatility of futures markets (Q853577) (← links)
- Existence of Lévy term structure models (Q928496) (← links)
- Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
- Exponential moments for HJM models with jumps (Q1003342) (← links)
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process (Q1417729) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- Stochastic string models with continuous semimartingales (Q1618536) (← links)
- A jump diffusion model for spot electricity prices and market price of risk (Q1673029) (← links)
- The dynamic spread of the forward CDS with general random loss (Q1724436) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- Singularly perturbed diffusisons: Rapid switchings and fast diffusions. (Q1807686) (← links)
- Pricing of multiple defaultable bond (Q1847632) (← links)
- A forward-backward SDE approach to affine models (Q1932521) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- An Italian perspective on the development of financial mathematics from 1992 to 2008 (Q2072109) (← links)
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation (Q2128167) (← links)
- Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation (Q2196039) (← links)
- A pure-jump mean-reverting short rate model (Q2209739) (← links)
- Two frameworks for pricing defaultable derivatives (Q2213633) (← links)
- A family of Markov processes in maximal compact subgroups of a semisimple Lie groups (Q2405931) (← links)
- Pricing cross-currency interest rate swaps under the Lévy market model (Q2423932) (← links)
- Risk-neutral compatibility with option prices (Q2430260) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- A model of the term structure of interest rates based on Lévy fields (Q2485808) (← links)
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814) (← links)
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic (Q2681451) (← links)
- A Simple Model for Option Pricing with Jumping Stochastic Volatility (Q2703110) (← links)