Pages that link to "Item:Q5374082"
From MaRDI portal
The following pages link to Pricing Interest-Rate-Derivative Securities (Q5374082):
Displaying 50 items.
- Forecasting the term structure of government bond yields (Q94953) (← links)
- Linear trend exclusion for models defined with stochastic differential and difference equations (Q268657) (← links)
- Term structure extrapolation and asymptotic forward rates (Q282277) (← links)
- A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
- A direct LU solver for pricing American bond options under Hull-White model (Q313650) (← links)
- Interest rates risk-premium and shape of the yield curve (Q316908) (← links)
- A tractable interest rate model with explicit monetary policy rates (Q322788) (← links)
- Valuation of commodity derivatives with an unobservable convenience yield (Q342244) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
- American bond option pricing in one-factor dynamic term structure models (Q375259) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models (Q375376) (← links)
- Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081) (← links)
- Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
- The pricing of vulnerable options with double Mellin transforms (Q465177) (← links)
- Pricing of discount bonds with a Markov switching regime (Q481375) (← links)
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks (Q495504) (← links)
- Prediction bias correction for dynamic term structure models (Q500507) (← links)
- Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
- Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
- An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
- Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
- Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
- Some results on correlation matrices for interest rates (Q637511) (← links)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
- On the equivalence of a class of affine term structure models (Q666298) (← links)
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations (Q679576) (← links)
- Extensions of the Ho and Lee interest-rate model to the multinomial case (Q704072) (← links)
- Pricing rate of return guarantees in regular premium unit linked insurance (Q704417) (← links)
- Functional dynamic factor models with application to yield curve forecasting (Q714342) (← links)
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks (Q781093) (← links)
- An approximation of caplet implied volatilities in Gaussian models (Q816447) (← links)
- A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
- Estimation and inference in the yield curve model with an instantaneous error term (Q834330) (← links)
- A factor allocation approach to optimal bond portfolio (Q841841) (← links)
- Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589) (← links)
- Correlation matrices of yields and total positivity (Q855558) (← links)
- Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
- An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates (Q882461) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- A closed-form formula for the conditional moments of the extended CIR process (Q896797) (← links)
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions (Q903027) (← links)
- Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607) (← links)
- Discount curve construction with tension splines (Q941730) (← links)
