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~isPartOf:"Journal of economic theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~language:"eng"
~subject:"Euler-Maruyama stochastic integral approximation"
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Euler-Maruyama stochastic integral approximation
Analysis
17
Mathematical analysis
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Theorie
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Theory
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Stochastic process
7
Stochastischer Prozess
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Option pricing theory
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Optionspreistheorie
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Martingal
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Martingale
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Credit derivative
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HJM (Heath-Jarrow-Morton) model
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Kreditderivat
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Cost function
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Equilibrium theory
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Financial economics
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English
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Chiarella, Carl
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Fanelli, Viviana
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Musti, Silvana
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Journal of economic theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
European journal of operational research : EJOR
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ECONIS (ZBW)
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
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