AFFINE LATTICE MODELS
Year of publication: |
2005
|
---|---|
Authors: | ALBANESE, CLAUDIO ; KUZNETSOV, ALEXEY |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 02, p. 223-238
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Interest rate models | affine models | birth and death processes | discretization scheme |
-
A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin, (2012)
-
Ma, Rui, (2015)
-
A novel discretization scheme for the close enough traveling salesman problem
Carrabs, Francesco, (2017)
- More ...
-
Albanese, Claudio, (2005)
-
Albanese, Claudio, (2004)
-
Tail dependence of the Gaussian copula revisited
Furman, Edward, (2016)
- More ...