Optimal rates from eigenvalues
Year of publication: |
February 2016
|
---|---|
Authors: | Carr, Peter ; Worah, Pratik |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 16.2016, p. 230-238
|
Subject: | Interest rates | Partial differential equations | Zins | Interest rate | Theorie | Theory | Analysis | Mathematical analysis | Mathematik | Mathematics | Zinsstruktur | Yield curve |
-
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei, (2015)
-
Testing for threshold diffusion
Su, Fei, (2017)
-
Pricing interest-rate derivatives : a fourier-transform based approach
Bouziane, Markus, (2008)
- More ...
-
Optimal Rates from Eigenvalues
Carr, Peter, (2017)
-
Spectral Methods and Pricing Options on Private Equity
Carr, Peter, (2015)
-
From local volatility to local Levy models
Carr, Peter, (2004)
- More ...