Hybrid Equity, FX, and Interest Rate Models with Stochastic Volatility and Jump Diffusion

2019 ◽

Vol 347 ◽

pp. 49-61 ◽

Cited By ~ 1

Author(s):

L. Gómez-Valle ◽

J. Martínez-Rodríguez

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Diffusion Processes ◽

Jump Diffusion ◽

Interest Rate Models ◽

Jump Diffusion Processes ◽

Risk Neutral

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Estimating single factor jump diffusion interest rate models

Applied Financial Economics ◽

10.1080/09603107.2011.591729 ◽

2011 ◽

Vol 21 (22) ◽

pp. 1679-1689 ◽

Cited By ~ 3

Author(s):

Ghulam Sorwar

Keyword(s):

Interest Rate ◽

Jump Diffusion ◽

Single Factor ◽

Interest Rate Models

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Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

The Journal of Financial Research ◽

10.1111/1475-6803.00065 ◽

2003 ◽

Vol 26 (3) ◽

pp. 389-404 ◽

Cited By ~ 5

Author(s):

Licheng Sun

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Empirical Investigation ◽

Short Term ◽

Interest Rate Models

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Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

Physical Review E ◽

10.1103/physreve.78.016101 ◽

2008 ◽

Vol 78 (1) ◽

Cited By ~ 19

Author(s):

D. Lemmens ◽

M. Wouters ◽

J. Tempere ◽

S. Foulon

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Closed Form ◽

Stochastic Volatility ◽

Path Integral ◽

Integral Approach ◽

Interest Rate Models ◽

Path Integral Approach

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

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.02.031 ◽

2016 ◽

Vol 291 ◽

pp. 48-57 ◽

Cited By ~ 6

Author(s):

L. Gómez-Valle ◽

J. Martínez-Rodríguez

Keyword(s):

Interest Rate ◽

Jump Diffusion ◽

Single Factor ◽

Interest Rate Models ◽

Neutral Processes ◽

Risk Neutral ◽

Estimation Of Risk

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A Class of Stochastic Volatility HJM Interest Rate Models

SSRN Electronic Journal ◽

10.2139/ssrn.492902 ◽

2004 ◽

Cited By ~ 3

Author(s):

Carl Chiarella ◽

David B. Colwell ◽

Oh Kang Kwon

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models

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Mean-variance hedging for interest rate models¶with stochastic volatility

Decisions in Economics and Finance ◽

10.1007/s102030200000 ◽

2002 ◽

Vol 25 (1) ◽

pp. 1-17 ◽

Cited By ~ 4

Author(s):

Francesca Biagini

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models ◽

Mean Variance

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A JUMP-DIFFUSION WITH STOCHASTIC VOLATILITY AND INTEREST RATE

Journal of Mathematics and Statistics ◽

10.3844/jmssp.2013.43.50 ◽

2013 ◽

Vol 9 (1) ◽

pp. 43-50 ◽

Cited By ~ 2

Author(s):

Peeraparp

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Jump Diffusion

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Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

Journal of Management Science and Engineering ◽

10.3724/sp.j.1383.204012 ◽

2017 ◽

Vol 2 (4) ◽

pp. 252-289 ◽

Cited By ~ 3

Author(s):

Rongda Chen ◽

Zexi Li ◽

Liyuan Zeng ◽

Lean Yu ◽

Qi Lin ◽

...

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Stochastic Volatility ◽

Diffusion Model ◽

Jump Diffusion ◽

Double Exponential ◽

Jump Diffusion Model

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Stochastic Volatility Interest Rate Models

Encyclopedia of Quantitative Finance ◽

10.1002/9780470061602.eqf11019 ◽

2010 ◽

Author(s):

Jesper Andreasen

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Interest Rate Models

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Hybrid Equity, FX, and Interest Rate Models with Stochastic Volatility and Jump Diffusion

The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes

Estimating single factor jump diffusion interest rate models

Nonlinear Drift And Stochastic Volatility: An Empirical Investigation Of Short-Term Interest Rate Models

Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

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

A Class of Stochastic Volatility HJM Interest Rate Models

Mean-variance hedging for interest rate models¶with stochastic volatility

A JUMP-DIFFUSION WITH STOCHASTIC VOLATILITY AND INTEREST RATE

Option Pricing under the Double Exponential Jump-Diffusion Model with Stochastic Volatility and Interest Rate

Stochastic Volatility Interest Rate Models

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