Copertina

Linear short rate model with several delays

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Roux, Alet, Juliá, Álvaro Guinea
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Mathematical Finance Probability 91G30, 60G44
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Calibration of the Bass Local Volatility model
di: Acciaio, Beatrice, et al.
Pubblicazione: (2023)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
di: Xodarev, Akmal
Pubblicazione: (2026)

Criteria for the absence of arbitrage in general diffusion markets
di: Criens, David, et al.
Pubblicazione: (2023)

Short-rate models with stochastic discontinuities: a PDE approach
di: Calvia, Alessandro, et al.
Pubblicazione: (2025)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
di: Backhoff, Julio, et al.
Pubblicazione: (2024)

Bridging classical and martingale Schrödinger bridges
di: Backhoff, Julio, et al.
Pubblicazione: (2026)

Bitcoin option pricing: A market attention approach
di: Julia, Alvaro Guinea, et al.
Pubblicazione: (2021)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
di: Dominguez, Alejandro Rodriguez
Pubblicazione: (2026)

Convergence rates for Backward SDEs driven by Lévy processes
di: Liu, Chenguang, et al.
Pubblicazione: (2024)

A Càdlàg Rough Path Foundation for Robust Finance
di: Allan, Andrew L., et al.
Pubblicazione: (2021)

The fundamental theorem of asset pricing with and without transaction costs
di: Kühn, Christoph
Pubblicazione: (2023)

Pricing and hedging for a sticky diffusion
di: Anagnostakis, Alexis
Pubblicazione: (2023)

No arbitrage and the existence of ACLMMs in general diffusion models
di: Criens, David, et al.
Pubblicazione: (2024)

Consumption-Investment Problem in Rank-Based Models
di: Itkin, David
Pubblicazione: (2025)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
di: Pra, Paolo Dai, et al.
Pubblicazione: (2025)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
di: Burés, Òscar
Pubblicazione: (2025)

On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
di: Kabanov, Yuri, et al.
Pubblicazione: (2025)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
di: Das, Kaustav, et al.
Pubblicazione: (2021)

Separating Times for One-Dimensional General Diffusions
di: Criens, David, et al.
Pubblicazione: (2022)

Gatheral double stochastic volatility model with Skorokhod reflection
di: Mishura, Yuliya, et al.
Pubblicazione: (2025)

Stochastic portfolio theory with price impact
di: Itkin, David
Pubblicazione: (2025)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
di: Hu, Ying, et al.
Pubblicazione: (2017)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
di: Coffie, Emmanuel
Pubblicazione: (2025)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
di: Itkin, David, et al.
Pubblicazione: (2022)

Open Markets and Hybrid Jacobi Processes
di: Itkin, David, et al.
Pubblicazione: (2021)

Robust Hedging of American Options via Aggregated Snell Envelopes
di: Rodrigues, Marco
Pubblicazione: (2025)

Affine term structure models driven by independent Lévy processes
di: Barski, Michał, et al.
Pubblicazione: (2024)

On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
di: Kabanov, Yuri, et al.
Pubblicazione: (2026)

Rough PDEs for local stochastic volatility models
di: Bank, Peter, et al.
Pubblicazione: (2023)

The American put with finite-time maturity and stochastic interest rate
di: Cai, Cheng, et al.
Pubblicazione: (2021)

The geometry of multi-curve interest rate models
di: Fontana, Claudio, et al.
Pubblicazione: (2024)

Filtering in a hazard rate change-point model with financial and life-insurance applications
di: Buttarazzi, Matteo, et al.
Pubblicazione: (2025)

From constant to rough: A survey of continuous volatility modeling
di: Di Nunno, Giulia, et al.
Pubblicazione: (2023)

Option pricing in bilateral Gamma stock models
di: Küchler, Uwe, et al.
Pubblicazione: (2019)

Exponential stock models driven by tempered stable processes
di: Küchler, Uwe, et al.
Pubblicazione: (2019)

Understanding the Commodity Futures Term Structure Through Signatures
di: Krishnan, Hari P., et al.
Pubblicazione: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
di: Tissot-Daguette, Valentin
Pubblicazione: (2026)

Rough differential equations for volatility
di: Bonesini, Ofelia, et al.
Pubblicazione: (2024)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
di: Choi, Jaehyuk, et al.
Pubblicazione: (2024)

The Mean Field Market Model Revisited
di: Hasenbichler, Manuel, et al.
Pubblicazione: (2023)