This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...

The aim of this paper is to accommodating the existing affine jump- diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.

This paper considers the nonparametric estimation of the densities of the latent variable and the error term in the standard measurement error model when two or more measurements are available. Using an identification result due to Kotlarski we propose a two-step nonparametric procedure for...