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Post-crisis macrofinancial modeling : continuous time approaches

Isohätälä, Jukka; Klimenko, Nataliya; Milne, Alistair - In: The handbook of post crisis financial modelling, (pp. 235-282). 2016

Persistent link: https://www.econbiz.de/10011475781

"Ito's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken; Wälde, Klaus - 2006

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...

Persistent link: https://www.econbiz.de/10010261427

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