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stochastic volatility
2
Continuous-time
1
Derivative Securities
1
HJM models
1
Heath-Jarrow-Morton model
1
Markov chains in continuous time
1
Multi-factor Model
1
Pricing
1
continuous time Markov chains
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forward rates
1
piecewise-deterministic Markov processes
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state space models
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term structure of interest rates
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Bajeux-Besnainou, Isabelle
1
Elhouar, Mikael
1
Portait, Roland
1
Valchev, Stoyan
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Applied Mathematical Finance
Physica A: Statistical Mechanics and its Applications
33
Quantitative Finance
13
Computational Statistics
11
European journal of operational research : EJOR
11
Mathematical Methods of Operations Research
11
Journal of econometrics
10
Journal of economic theory
9
Statistical Inference for Stochastic Processes
9
Statistics & Probability Letters
9
Journal of economic dynamics & control
8
Games and economic behavior
7
International Journal of Theoretical and Applied Finance (IJTAF)
7
CEPR Discussion Papers
6
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Dynamic games and applications : DGA
6
European Journal of Operational Research
6
Journal of mathematical economics
6
Stochastic Processes and their Applications
6
Finance and Stochastics
5
International journal of production research
5
Mathematics and Computers in Simulation (MATCOM)
5
Dynamic Games and Applications
4
Economic Theory
4
Insurance / Mathematics & economics
4
Insurance: Mathematics and Economics
4
Journal of Economic Dynamics and Control
4
Journal of Economic Theory
4
Journal of economic behavior & organization : JEBO
4
Journal of empirical finance
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematical methods of operations research : ZOR
4
Mathematics of operations research
4
Operations research letters
4
Annals of Finance
3
Annals of finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Economics Letters
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Economics letters
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Finance and stochastics
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Finite-dimensional Realizations of Regime-switching HJM Models
Elhouar, Mikael
- In:
Applied Mathematical Finance
15
(
2008
)
4
,
pp. 331-354
forward rate volatility is allowed to depend on the current forward rate curve as well as on a
continuous
time
Markov chain y …
Persistent link: https://www.econbiz.de/10005462502
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2
Stochastic volatility Gaussian Heath-Jarrow-Morton models
Valchev, Stoyan
- In:
Applied Mathematical Finance
11
(
2004
)
4
,
pp. 347-368
continuous
time
Ho-Lee and Hull-White extended Vasicek models are obtained. Introducing a regime shift in volatility that is an …
Persistent link: https://www.econbiz.de/10005462497
Saved in:
3
Pricing stock and bond derivatives with a multi-factor Gaussian model
Bajeux-Besnainou, Isabelle
;
Portait, Roland
- In:
Applied Mathematical Finance
5
(
1998
)
3-4
,
pp. 207-225
) given a
continuous
time
Gaussian multi-factor model of the returns of stocks and bonds. The bond market is similar to …
Persistent link: https://www.econbiz.de/10005495422
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