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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93
Persistent link: https://www.econbiz.de/10001487041
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Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying; Ma, Chunhua; Scotti, Simone - In: Finance and stochastics 21 (2017) 3, pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
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A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio; Pavarana, Simone; Runggaldier, Wolfgang J. - In: Finance and stochastics 27 (2023) 4, pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Valuation of default-sensitive claims under imperfect information
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10003716260
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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud - In: Finance and stochastics 11 (2007) 4, pp. 495-519
Persistent link: https://www.econbiz.de/10003645519
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Stochastic flow approach to Dupire's formula
Jourdain, B. - In: Finance and stochastics 11 (2007) 4, pp. 521-535
Persistent link: https://www.econbiz.de/10003645525
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa; León, Jorge A.; Vives, Josep - In: Finance and stochastics 11 (2007) 4, pp. 571-589
Persistent link: https://www.econbiz.de/10003645538