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Modelling the Uruguayan debt through Gaussians models
Mordecki, Ernesto; Sosa, Andrés - In: Trends in mathematical economics : dialogues between …, (pp. 331-346). 2016
Persistent link: https://www.econbiz.de/10011800861
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Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
Palapies, Lars - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 415-460
Persistent link: https://www.econbiz.de/10014443750
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Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Tang, Pan; Baaquie, Belal E.; Du, Xin; Zhang, Ying - In: Applied economics 48 (2016) 10/12, pp. 878-891
Persistent link: https://www.econbiz.de/10011432758
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Optimal bond portfolios with fixed time to maturity
Andersson, Patrik; Lagerås, Andreas N. - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 429-438
Persistent link: https://www.econbiz.de/10010195912
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Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan - In: Applied mathematical finance 23 (2016) 5/6, pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Koulis, Theodoro; Paseka, Alexander; Thavaneswaran, … - In: Journal of mathematical finance 3 (2013) 3, pp. 357-365
Persistent link: https://www.econbiz.de/10010239543
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Inference for interest rate models using Milstein’s approximation
Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118
Persistent link: https://www.econbiz.de/10010240817
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Alternative characterization of volatility of short-term interest rate
Bhar, Ramaprasad; Lee, Damien - In: International journal of financial engineering 5 (2018) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011923007
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Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467