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~isPartOf:"Applied Mathematical Finance"
~subject:"stochastic volatility"
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stochastic volatility
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
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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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Elhouar, Mikael
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Valchev, Stoyan
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Applied Mathematical Finance
Discussion Paper
3
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
2
MPRA Paper
2
SFB 649 Discussion Paper
2
SFB 649 Discussion Papers
2
The journal of computational finance
2
CREATES Research Papers
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Documentos de Trabajo del ICAE
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Econometric Institute Research Papers
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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
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FAME Research Paper Series
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Handbook of economic forecasting ; 1
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International journal of theoretical and applied finance
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KIER Working Papers
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Statistical Inference for Stochastic Processes
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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
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