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subject:"Zinsstruktur"
~person:"Chan, Kung-sik"
~person:"Criens, David"
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Zinsstruktur
Analysis
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Stochastic process
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Girsanov's theorem
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Heath-Jarrow-Morton framework
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Interest rate derivative
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Option pricing theory
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change of measure
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real-world dynamics
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risk-neutral dynamics
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stochastic partial differential equations
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Chan, Kung-sik
Criens, David
Chiarella, Carl
3
Fanelli, Viviana
3
Musti, Silvana
3
Bouziane, Markus
2
Leitner, Johannes
2
Su, Fei
2
Zhang, Yumo
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Baranovski, Alexander
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Bu, Ruijun
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Carr, Peter
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Cheng, Jie
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International journal of theoretical and applied finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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2
Testing for threshold diffusion
Su, Fei
;
Chan, Kung-sik
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
Saved in:
3
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei
;
Chan, Kung-sik
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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