#Rice gaussian software how to
#Rice gaussian software series

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#Rice gaussian software how to

See general information about how to correct material in RePEc.įor technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1310.3347. You can help correct errors and omissions. 19(3), pages 165-200, October.Īll material on this site has been provided by the respective publishers and authors. Review of Derivatives Research, Springer, vol. ' Stochastic covariance and dimension reduction in the pricing of basket options,' Marcos Escobar & Daniel Krause & Rudi Zagst, 2016.Insurance: Mathematics and Economics, Elsevier, vol. ' The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options,' Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016.' The explicit Laplace transform for the Wishart process,' Alessandro Gnoatto & Martino Grasselli, 2011.Journal of Futures Markets, John Wiley & Sons, Ltd., vol. ' Correlation risk and international portfolio choice,' Nicole Branger & Matthias Muck & Stefan Weisheit, 2019.Stochastic Processes and their Applications, Elsevier, vol. ' Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices,' ' Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing,' Aur'elien Alfonsi & David Krief & Peter Tankov, 2018.

#Rice gaussian software series

Swiss Finance Institute Research Paper Series ' Density Approximations For Multivariate Affine Jump-Diffusion Processes,'

Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER, 2011.

' Density Approximations for Multivariate Affine Jump-Diffusion Processes,'

Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011.

' Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,' ' Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps,'Īsia-Pacific Financial Markets, Springer Japanese Association of Financial Economics and Engineering, vol.

' Stochastic Skew in the Interest Rate Cap Market,' Journal of Banking & Finance, Elsevier, vol. ' International stochastic discount factors and covariance risk,'

Branger, Nicole & Herold, Michael & Muck, Matthias, 2021.

' Mean–variance asset–liability management with asset correlation risk and insurance liabilities,' ' Pricing range notes within Wishart affine models,'

Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014.

repec:uts:finphd:41 is not listed on IDEAS.

' Stochastic Correlation and Risk Premia in Term Structure Models,'Ģ98, Quantitative Finance Research Centre, University of Technology, Sydney.

Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011.

6(2), pages 327-343.įull references (including those not matched with items on IDEAS) Review of Financial Studies, Society for Financial Studies, vol. ' A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,' Mathematical Finance, Wiley Blackwell, vol. ' Solvable Affine Term Structure Models,'

Martino Grasselli & Claudio Tebaldi, 2008.

' Saddlepoint approximations for continuous-time Markov processes,'

Ait-Sahalia, Yacine & Yu, Jialin, 2006.

Statistics & Probability Letters, Elsevier, vol. ' Saddlepoint approximations to option price in a general equilibrium model,'

Xiong, Jian & Wong, Augustine & Salopek, Donna, 2005.

' The Wishart Autoregressive Process of Multivariate Stochastic Volatility,'Ģ005_2, York University, Department of Economics.