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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
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Randomised Mixture Models for Pricing Kernels
Macrina, Andrea; Parbhoo, Priyanka - In: Asia-Pacific Financial Markets 21 (2014) 4, pp. 281-315
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial market by randomised mixtures of Lévy processes. We assume that market participants observe the...
Persistent link: https://www.econbiz.de/10010989072
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The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
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A fractal version of the Hull-White interest rate model
Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
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Explosive behavior in a log-normal interest rate model
Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
Persistent link: https://www.econbiz.de/10001450616
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
measure, describing the stochastic dynamics of the state of the market, and an equivalent martingale measure determining … prices of contingent claims. The relation between equivalent martingale measure, state prices, market price of risk and the …
Persistent link: https://www.econbiz.de/10011544749
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
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Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009562139