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Calibrating Drift of Short-Rate Models with Jump-Diffusion

https://doi.org/10.2139/ssrn.2320095

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-540-34604-3openalex-extracted

Interest Rate Models — Theory and Practice

inferredcites →https://doi.org/10.1007/978-3-540-68015-4openalex-extracted

Term-Structure Models: A Graduate Course

inferredcites →https://doi.org/10.1007/978-3-540-71297-8_27openalex-extracted

An Overview of Interest Rate Theory

inferredcites →https://doi.org/10.1007/978-3-642-13694-8openalex-extracted

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

inferredcites →https://doi.org/10.1007/978-3-662-04553-4openalex-extracted

Interest Rate Models Theory and Practice

inferredcites →https://doi.org/10.1007/978-3-662-22132-7openalex-extracted

Martingale Methods in Financial Modelling

inferredcites →https://doi.org/10.1016/b978-044450896-6.50007-8openalex-extracted

Jump-Diffusion Models

inferredcites →https://doi.org/10.1016/s0304-4076(01)00085-9openalex-extracted

The surprise element: jumps in interest rates

inferredcites →https://doi.org/10.1093/0198775180.001.0001openalex-extracted

Arbitrage Theory in Continuous Time

inferredcites →https://doi.org/10.1111/1467-9965.00031openalex-extracted

Bond Market Structure in the Presence of Marked Point Processes

inferredcites →https://doi.org/10.1201/9780203485217.sec1openalex-extracted

Basic tools

inferredcites →https://doi.org/10.2139/ssrn.1519674openalex-extracted

Forward Density Approach to European Option Under Stochastic Interest Rate

inferredcites →https://doi.org/10.2139/ssrn.1519676openalex-extracted

Regular Perturbation Approach to Nonsteady Drift of the Cox-Ingersoll-Ross Model

inferredcites →https://doi.org/10.2139/ssrn.1519677openalex-extracted

Drift of the Cox-Ingersoll-Ross Model Under Time-Varying Mean-Reversion

inferredcites →https://doi.org/10.2139/ssrn.2053538openalex-extracted

European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate

inferredcites →https://doi.org/10.2139/ssrn.2072614openalex-extracted

European Option Under Jump-Diffusion and Stochastic Interest Rate

inferredcites →https://doi.org/10.2307/2965618openalex-extracted

Financial Calculus: An Introduction to Derivative Pricing.

inferredcites →https://doi.org/10.1093/0199271267.001.0001openalex-snapshot

Arbitrage Theory in Continuous Time

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