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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
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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
MPRA Paper
13
Quantitative Finance
13
CESifo Working Paper Series
11
Computational Statistics
11
Mathematical Methods of Operations Research
11
Statistical Inference for Stochastic Processes
9
Statistics & Probability Letters
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Finance and Stochastics
8
Cowles Foundation Discussion Papers
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Economic Theory
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Finance
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International Journal of Theoretical and Applied Finance (IJTAF)
7
CEPR Discussion Papers
6
CREATES Research Papers
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European Journal of Operational Research
6
Stochastic Processes and their Applications
6
CIRANO Working Papers
5
Mathematics and Computers in Simulation (MATCOM)
5
Post-Print / HAL
5
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
5
CFS Working Paper Series
4
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
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SFB 649 Discussion Papers
4
Tinbergen Institute Discussion Papers
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Annals of Finance
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Discussion Papers / Økonomisk Institut, Københavns Universitet
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Economics Letters
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Economics Papers from University Paris Dauphine
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Journal of Empirical Finance
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Journal of Global Optimization
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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
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
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