Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

Published:2016-01 Issue: Volume:291 Page:48-57
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Gómez-Valle L.,Martínez-Rodríguez J.

Funder

Junta de Castilla y León

GIR Optimización Dinámica, Finanzas Matemáticas y Utilidad Recursiva of the Universidad de Valladolid

Ministerio de Ciencia e Innovación

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference25 articles.

1. Jump-processes and the term structure of interest rates;Ahn;J. Finance,1998

2. A theory of the term structure of interest rates;Cox;Econometrica,1985

3. Analytical approximations of the term structure for jump-diffusion processes: a numerical analysis;Baz;J. Fixed Income,1996

4. Pricing American interest rate options under the jump-extended Vasiceck model;Beliaeva;J. Deriv.,2008

5. An equilibrium characterization of the term structure;Vasiceck;J. Financ. Econ.,1977

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the nonparametric inference of coefficients of self-exciting jump-diffusion;Electronic Journal of Statistics;2022-01-01

2. Estimating risk‐neutral freight rate dynamics: A nonparametric approach;Journal of Futures Markets;2021-07-15

3. Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices;Mathematical Methods in the Applied Sciences;2019-07-29

4. The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes;Journal of Computational and Applied Mathematics;2019-02

5. A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models;Journal of Computational and Applied Mathematics;2017-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3