[BOOK][B] Dynamic term structure modeling: the fixed income valuation course
SK Nawalkha, GM Soto, NA Beliaeva - 2007 - books.google.com
Praise for Dynamic Term Structure Modeling" This book offers the most comprehensive
coverage of term-structure models I have seen so far, encompassing equilibrium and no …
coverage of term-structure models I have seen so far, encompassing equilibrium and no …
A simple approach to pricing American options under the Heston stochastic volatility model
NA Beliaeva, SK Nawalkha - Journal of Derivatives, 2010 - search.proquest.com
In a recent study, Nawalkha, Beliaeva, and Zreik (NBZ)(2010) presented a multidimensional
transform for generating path-independent trees for pricing American options under low …
transform for generating path-independent trees for pricing American options under low …
[HTML][HTML] Implied volatility surface construction for commodity futures options traded in China
European futures options are not traded on the Chinese exchanges and that generates
difficulties to calibrate fundamental market parameters, such as the implied volatilities. We …
difficulties to calibrate fundamental market parameters, such as the implied volatilities. We …
[PDF][PDF] A unified willow tree framework for one-factor short-rate models
G Wang, W Xu - The Journal of Derivatives, 2018 - researchgate.net
Short rate models are critical and fundamental to govern the evolution of stochastic interest
rate in derivatives pricing and risk management. Numerical methods for these models are …
rate in derivatives pricing and risk management. Numerical methods for these models are …
A simplified approach to approximate diffusion processes widely used in finance
M Costabile, I Massabó - Journal of Derivatives, 2010 - search.proquest.com
We propose a simplified approach to approximate a variety of heteroskedastic diffusions
widely used in finance to describe the evolution of state variables such as equity prices …
widely used in finance to describe the evolution of state variables such as equity prices …
Formal verification meets stochastic analysis
F Cosentino - 2021 - ora.ox.ac.uk
The thesis goal is to explore the relations between Formal Verification techniques in
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
JE Hilliard - Quantitative Finance, 2014 - Taylor & Francis
A wide variety of diffusions used in financial economics are mean-reverting and many have
state-and time-dependent volatilities. For processes with the latter property, a transformation …
state-and time-dependent volatilities. For processes with the latter property, a transformation …
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
O Menoukeu-Pamen, G Xu, X Zhuo - Quantitative Finance, 2023 - Taylor & Francis
Interest rates frequently exhibit regulated or controlled characteristics, for example, the
prevailing zero interest rate policy, or the leading role of central banks in short rate markets …
prevailing zero interest rate policy, or the leading role of central banks in short rate markets …
Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
R Ahlip, M Rutkowski - The European Journal of Finance, 2016 - Taylor & Francis
We consider an extension of the model proposed by Moretto, Pasquali, and Trivellato
[2010.“Derivative Evaluation Using Recombining Trees under Stochastic Volatility.” …
[2010.“Derivative Evaluation Using Recombining Trees under Stochastic Volatility.” …
Volatility Level Dependence and Linear-Rational Term Structure Models
A Backwell, K Ramnarayan - Emerging Markets Finance and Trade, 2022 - Taylor & Francis
We outline a subclass of linear-rational term structure models, based on CEV dynamics. A
tractable and arbitrage-free term structure results from the linear-rational aspect of the …
tractable and arbitrage-free term structure results from the linear-rational aspect of the …