Randomised Mixture Models for Pricing Kernels
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/content/pdf/10.1007/s10690-014-9186-7.pdf
Reference26 articles.
1. Akahori, J., Hishida, Y., Teichmann, J., & Tsuchiya, T. (2014). A heat kernel approach to interest rate models. Japan Journal of Industrial and Applied Mathematics. doi: 10.1007/s13160-014-0147-3 .
2. Akahori, J., & Macrina, A. (2012). Heat kernel interest rate models with time-inhomogeneous Markov processes. International Journal of Theoretical and Applied Finance, 15, 1250007–1–1250007-15.
3. Applebaum, D. (2004). Lévy processes and stochastic calculus (1st ed.). Cambridge: Cambridge University Press.
4. Bain, A., & Crisan, D. (2009). Fundamentals of stochastic filtering. New York: Springer.
5. Boyle, P. P., Broadie, M. N., & Glasserman, P. (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control, 21, 1267–1321.
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