Operator Methods for Continuous-Time Markov Processes

Author:

Aït-Sahalia Yacine,Hansen Lars Peter,Scheinkman José A.

Publisher

Elsevier

Reference92 articles.

1. Nonparametric pricing of interest rate derivative securities;Aït-Sahalia;Econometrica,1996

2. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Review of Financial Studies,1996

3. Transition densities for interest rate and other nonlinear diffusions;Aït-Sahalia;Journal of Finance,1999

4. Closed-form likelihood expansions for multivariate diffusions;Aït-Sahalia;Annals of Statistics,2008

5. Aït-Sahalia, Y (2002a). Empirical option pricing and the Markov property. Technical report, Princeton University.

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