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~institution:"International Labour Organization (ILO), United Nations"
~institution:"Society for Computational Economics - SCE"
~person:"Chiarella, Carl"
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American option
1
Free boundary problem
1
Heath-Jarrow-Morton model
1
Jump-diffusion model
1
Merton's intertemporal model
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bond price
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numerical dynamic programming
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option price
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term structure of interest rates
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Chiarella, Carl
G, Rodgers
15
R, Wery
9
Hopkins, Mike
5
Rodriguez, Arnulfo
4
A, Kouwenaar
3
Chen, Shu-Heng
3
L, Barreiros
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McCulloch, J. Huston
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R, Vos
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Aksoy, Yunus
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B, Popovic
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Bruno, Giuseppe
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Bulla, Ingo
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Chen, Baoline
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D'Amico, Stefania
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Dawid, Herbert
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Deissenberg, Christophe
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Dewachter, Hans
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Frenken, Koen
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Gatu, Cristian
2
Gonzalez, Fidel
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Huang, Ya-Chi
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J, Skolka
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Kapetanios, George
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L, Rapp
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Landon-Lane, John
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Lyrio, Marco
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M, Hopkins
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M, Macura
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Maringer, Dietmar
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Muehlen, Peter von zur
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P, Peek
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R, Anker
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R, Teekens
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RS, Moreland
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International Labour Organization (ILO), United Nations
Society for Computational Economics - SCE
Finance Discipline Group, Business School
18
Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt
1
International Symposium in Economic Theory and Econometrics <12, 1996, Sydney>
1
Quantitative Finance Research Centre <Sydney>
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Computing in Economics and Finance 2002
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Computing in Economics and Finance 2003
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Computing in Economics and Finance 2004
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1
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming
Chiarella, Carl
;
Hsiao, Chih-ying
-
Society for Computational Economics - SCE
-
2004
decisions in an intertemporal dynamic framework. We use the framework laid out by Merton(1973) for this type of
model
. We …
Persistent link: https://www.econbiz.de/10005345350
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2
McKean’s Method applied to American Call Options on Jump-Diffusion Processes
Ziogas, Andrew
;
Chiarella, Carl
-
Society for Computational Economics - SCE
-
2003
Persistent link: https://www.econbiz.de/10005132910
Saved in:
3
Numerical Investigations of the Heath Jarrow Morton
Model
with Forward Rate Dependent Volatility
Chiarella, Carl
;
Musti, Silvana
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005537692
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