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Heat kernel models for asset pricing

Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34

Persistent link: https://www.econbiz.de/10010498834

Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle

Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598

Persistent link: https://www.econbiz.de/10009388552

Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach

Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128

Persistent link: https://www.econbiz.de/10014321379

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013165295

A Markov chain model with stochastic default rate for valuation of credit spreads

Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18

Persistent link: https://www.econbiz.de/10001613575

Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium

Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908

Persistent link: https://www.econbiz.de/10011715220

Markov modulated jump-diffusions for currency options when regime switching risk is priced

Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10012314539

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Three essays in the term structure of interest rates

Yi, Chun Won - 2003

Persistent link: https://www.econbiz.de/10003778929

Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242

Persistent link: https://www.econbiz.de/10003765155

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