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Existence and uniqueness of recursive utilities without boundedness

Christensen, Timothy M. - In: Journal of economic theory 200 (2022), pp. 1-37

Persistent link: https://www.econbiz.de/10013192743

A contingent claim approach to bank valuation

Owoloko, Enahoro Alfred; Omoregbe, Nicholas Amienwan; … - In: Journal of mathematical finance 4 (2014) 4, pp. 234-244

Persistent link: https://www.econbiz.de/10011312423

Optimal control of an energy storage facility under a changing economic environment and partial information

Shardin, Anton A.; Szölgyenyi, Michaela - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-27

Persistent link: https://www.econbiz.de/10011523933

Quasi-likelihood estimation of a threshold diffusion process

Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484

Persistent link: https://www.econbiz.de/10011504631

Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

Persistent link: https://www.econbiz.de/10009703683

Likelihood inference for discretely observed non-linear diffusions

Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000

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Lognormal approximations to Libor market models

Kurbanmuradov, O.; Sabelfeld, K.; Schoenmakers, John - In: The journal of computational finance 6 (2002) 1, pp. 69-100

Persistent link: https://www.econbiz.de/10001704745

Large time and small noise asymptotic results for mean reverting diffusion processes with applications

Callen, Jeffrey L.; Govindaraj, Suresh; Xu, Lin - In: Economic theory : official journal of the Society for … 16 (2000) 2, pp. 401-419

Persistent link: https://www.econbiz.de/10001526085

Lognormal random field approximations to LIBOR market models

Kurbanmuradov, O. (contributor); Sabelfeld, K. (contributor) - 1999 - [Elektronische Ressource]

We study several approximations for the LIBOR market models presented in Brace, Gatarek, Musiela (1997), Jamshidian (1997) and Schoenmakers, Coffey (1999). Special attention is payed to log-normal approximations and their simulation by using direct simulation methods for log-normal random...

Persistent link: https://www.econbiz.de/10001544522

Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Advances in finance and stochastics : essays in honour …, (pp. 177-195). 2002

Persistent link: https://www.econbiz.de/10001672233