Literatura académica sobre el tema "Affine Jump Diffusion"
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Artículos de revistas sobre el tema "Affine Jump Diffusion"
Glasserman, Paul y Kyoung-Kuk Kim. "Saddlepoint approximations for affine jump-diffusion models". Journal of Economic Dynamics and Control 33, n.º 1 (enero de 2009): 15–36. http://dx.doi.org/10.1016/j.jedc.2008.04.007.
Texto completoLi, Lingfei, Rafael Mendoza-Arriaga y Daniel Mitchell. "Analytical representations for the basic affine jump diffusion". Operations Research Letters 44, n.º 1 (enero de 2016): 121–28. http://dx.doi.org/10.1016/j.orl.2015.12.003.
Texto completoFilipović, Damir, Eberhard Mayerhofer y Paul Schneider. "Density approximations for multivariate affine jump-diffusion processes". Journal of Econometrics 176, n.º 2 (octubre de 2013): 93–111. http://dx.doi.org/10.1016/j.jeconom.2012.12.003.
Texto completoChung, Tsz Kin y Yue Kuen Kwok. "Equity-credit modeling under affine jump-diffusion models with jump-to-default". Journal of Financial Engineering 01, n.º 02 (junio de 2014): 1450017. http://dx.doi.org/10.1142/s2345768614500172.
Texto completoGapeev, Pavel V. y Yavor I. Stoev. "On the construction of non-affine jump-diffusion models". Stochastic Analysis and Applications 35, n.º 5 (30 de junio de 2017): 900–918. http://dx.doi.org/10.1080/07362994.2017.1333008.
Texto completoDa Fonseca, José y Katja Ignatieva. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market". Journal of Banking & Finance 99 (febrero de 2019): 45–62. http://dx.doi.org/10.1016/j.jbankfin.2018.11.014.
Texto completoFRAME, SAMUEL J. y CYRUS A. RAMEZANI. "BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES". Annals of Financial Economics 09, n.º 03 (diciembre de 2014): 1450008. http://dx.doi.org/10.1142/s2010495214500080.
Texto completoIgnatieva, Katja y Patrick Wong. "Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models". Energy Economics 108 (abril de 2022): 105873. http://dx.doi.org/10.1016/j.eneco.2022.105873.
Texto completoNunes, João Pedro Vidal y Tiago Ramalho Viegas Alcaria. "Valuation of forward start options under affine jump-diffusion models". Quantitative Finance 16, n.º 5 (31 de julio de 2015): 727–47. http://dx.doi.org/10.1080/14697688.2015.1049200.
Texto completoYun, Jaeho. "Out-of-sample density forecasts with affine jump diffusion models". Journal of Banking & Finance 47 (octubre de 2014): 74–87. http://dx.doi.org/10.1016/j.jbankfin.2014.06.024.
Texto completoTesis sobre el tema "Affine Jump Diffusion"
Lahiri, Joydeep. "Affine jump diffusion models for the pricing of credit default swaps". Thesis, University of Reading, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.529979.
Texto completoZhang, Xiang. "Essays on empirical performance of affine jump-diffusion option pricing models". Thesis, University of Oxford, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.552834.
Texto completoBambe, Moutsinga Claude Rodrigue. "Transform analysis of affine jump diffusion processes with applications to asset pricing". Diss., Pretoria : [s.n.], 2008. http://upetd.up.ac.za/thesis/available/etd-06112008-162807.
Texto completoGleeson, Cameron Banking & Finance Australian School of Business UNSW. "Pricing and hedging S&P 500 index options : a comparison of affine jump diffusion models". Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22379.
Texto completoEzzine, Ahmed. "Some topics in mathematical finance. Non-affine stochastic volatility jump diffusion models. Stochastic interest rate VaR models". Doctoral thesis, Universite Libre de Bruxelles, 2004. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211156.
Texto completoYuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.
Texto completoMcClelland, Andrew James. "Self excitation in equity indices". Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/63629/1/Andrew_McClelland_Thesis.pdf.
Texto completoCetinkaya, Sirzat. "Valuation Of Life Insurance Contracts Using Stochastic Mortality Rate And Risk Process Modeling". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/3/12608214/index.pdf.
Texto completoXu, Li. "Financial and computational models in electricity markets". Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/51849.
Texto completoKrebs, Daniel. "Pricing a basket option when volatility is capped using affinejump-diffusion models". Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123395.
Texto completoLibros sobre el tema "Affine Jump Diffusion"
Duffie, Darrell. Transform analysis and asset pricing for affine jump-diffusions. Cambridge, MA: National Bureau of Economic Research, 1999.
Buscar texto completoDurham, J. Benson. Jump-diffusion processes and affine term structure models: Additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates. Washington, D.C: Federal Reserve Board, 2005.
Buscar texto completoCapítulos de libros sobre el tema "Affine Jump Diffusion"
Regis, Luca y Petar Jevtić. "Stochastic Mortality Models and Pandemic Shocks". En Springer Actuarial, 61–74. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-78334-1_4.
Texto completo"Affine Jump-Diffusion Processes". En Financial Derivative and Energy Market Valuation, 605–44. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118501788.ch18.
Texto completoActas de conferencias sobre el tema "Affine Jump Diffusion"
Miguel Bravo, Jorge. "Pricing Survivor Bonds with Affine-Jump Diffusion Stochastic Mortality Models". En ICEEG '21: 2021 The 5th International Conference on E-Commerce, E-Business and E-Government. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3466029.3466037.
Texto completoShi, Guoqing, Chuanzhe Liu y Yuhua Hou. "Study on the pricing of credit default swap with affine jump-diffusions processes". En 2006 6th International Conference on Intelligent Systems Design and Applications. IEEE, 2006. http://dx.doi.org/10.1109/isda.2006.251.
Texto completoInformes sobre el tema "Affine Jump Diffusion"
Duffie, Darrell, Jun Pan y Kenneth Singleton. Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Cambridge, MA: National Bureau of Economic Research, abril de 1999. http://dx.doi.org/10.3386/w7105.
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