//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Applied Mathematical Finance"
~language:"und"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Continuous Time"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
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
1
forward rates
1
piecewise-deterministic Markov processes
1
state space models
1
term structure of interest rates
1
more ...
less ...
Online availability
All
Undetermined
3
Type of publication
All
Article
3
Language
All
Undetermined
Author
All
Bajeux-Besnainou, Isabelle
1
Elhouar, Mikael
1
Portait, Roland
1
Valchev, Stoyan
1
Published in...
All
Applied Mathematical Finance
Physica A: Statistical Mechanics and its Applications
33
MPRA Paper
13
Quantitative Finance
13
Computational Statistics
11
Mathematical Methods of Operations Research
11
Statistical Inference for Stochastic Processes
9
Statistics & Probability Letters
9
Finance and Stochastics
8
Economic Theory
7
Finance
7
International Journal of Theoretical and Applied Finance (IJTAF)
7
CEPR Discussion Papers
6
European Journal of Operational Research
6
Stochastic Processes and their Applications
6
Mathematics and Computers in Simulation (MATCOM)
5
Post-Print / HAL
5
Dynamic Games and Applications
4
Insurance: Mathematics and Economics
4
Journal of Economic Dynamics and Control
4
Journal of Economic Theory
4
SFB 373 Discussion Papers
4
Tinbergen Institute Discussion Papers
4
Annals of Finance
3
Department of Economics, Working Paper Series
3
Economics Letters
3
Economics Papers from University Paris Dauphine
3
Journal of Empirical Finance
3
Journal of Global Optimization
3
LSE Research Online Documents on Economics
3
Management Science
3
PIER Working Paper Archive
3
Santa Cruz Department of Economics, Working Paper Series
3
TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
3
Transportation Research Part B: Methodological
3
Working Paper
3
2006 Meeting Papers
2
Annals of the Institute of Statistical Mathematics
2
Bulletin of the Czech Econometric Society
2
CFS Working Paper Series
2
more ...
less ...
Source
All
RePEc
3
Showing
1
-
3
of
3
Sort
Relevance
Date (newest first)
Date (oldest first)
1
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
Saved in:
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
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->