Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
Year of publication: |
2007-06-01
|
---|---|
Authors: | Bruti-Liberati, Nicola ; Nikitopoulos-Sklibosios, Christina ; Platen, Eckhard |
Institutions: | Finance Discipline Group, Business School |
Subject: | jump diffusions | affine term structure | real-world pricing | growth optimal portfolio | benchmark approach | HJM |
-
Analytic Pricing of Contingent Claims Under the Real-World Measure
Miller, Shane, (2008)
-
Real World Pricing for a Modified Constant Elasticity of Variance Model
Miller, Shane M, (2008)
-
Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola, (2009)
- More ...
-
Alternative Defaultable Term Structure Models
Bruti-Liberati, Nicola, (2009)
-
On the Strong Approximation of Jump-Diffusion Processes
Bruti-Liberati, Nicola, (2005)
-
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
Bruti-Liberati, Nicola, (2005)
- More ...