Pages that link to "Item:Q4464013"

The following pages link to Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013):

Displaying 33 items.

• Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
• Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate (Q1044238) (← links)
• Large deviations for the extended Heston model: the large-time case (Q1627673) (← links)
• Staying at zero with affine processes: an application to term structure modelling (Q1676383) (← links)
• A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
• Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
• On the transition density and first hitting time distributions of the doubly skewed CIR process (Q2241619) (← links)
• Investment under uncertainty with a zero lower bound on interest rates (Q2300365) (← links)
• Large deviations for the boundary local time of doubly reflected Brownian motion (Q2339560) (← links)
• Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
• Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
• Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020) (← links)
• A two-factor model for low interest rate regimes (Q2575438) (← links)
• Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
• THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE (Q2806367) (← links)
• A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697) (← links)
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
• Some integral functionals of reflected SDEs and their applications in finance (Q3169213) (← links)
• SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL (Q3502165) (← links)
• A multi-quality model of interest rates (Q3623404) (← links)
• Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations (Q4579836) (← links)
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) (← links)
• Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound (Q5106727) (← links)
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704) (← links)
• PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
• On the transition densities for reflected diffusions (Q5694152) (← links)