[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 …

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 …

[HTML][HTML] Implied volatility surface construction for commodity futures options traded in China

W Xu, A Šević, Ž Šević - Research in International Business and Finance, 2022 - Elsevier
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 …

[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 …

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 …

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 …

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 …

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 …

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.” …

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 …