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Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
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Estimation in continuous-time stochastic volatility models using nonlinear filters
Nygaard Nielsen, Jan; Vestergaard, Martin - In: International journal of theoretical and applied finance 3 (2000) 2, pp. 279-308
Persistent link: https://www.econbiz.de/10001484701
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Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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Identification of affine term structures from yield curve data
Aihara, Shin Ichi; Bagchi, Arunabha - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 259-283
Persistent link: https://www.econbiz.de/10008860397
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Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence
Dang-Nguyen, Stephane; Le Caillec, Jean-Marc; Hillion, Alain - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-22
Persistent link: https://www.econbiz.de/10010438521
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A review of techniques for the estimation of the term structure
Marangio, Livio; Bernaschi, Massimo; Ramponi, Alessandro - In: International journal of theoretical and applied finance 5 (2002) 2, pp. 189-221
Persistent link: https://www.econbiz.de/10001662972
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Polynomial term structure models
Cheng, Si; Tehranchi, Michael R. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012650336
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A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 155-202
Persistent link: https://www.econbiz.de/10003415746