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Recursive estimation for continuous time stochastic volatility models using the Milstein approximation

Koulis, Theodoro; Paseka, Alexander; Thavaneswaran, … - In: Journal of mathematical finance 3 (2013) 3, pp. 357-365

Persistent link: https://www.econbiz.de/10010239543

Inference for interest rate models using Milstein’s approximation

Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118

Persistent link: https://www.econbiz.de/10010240817

Diffusion approximations for G/M/n + GI queues with state-dependent service rates

Weerasinghe, Ananda - In: Mathematics of operations research 39 (2014) 1, pp. 207-228

Persistent link: https://www.econbiz.de/10010345214

From stochastic dominance to Black-Scholes : an alternative option pricing paradigm

Oancea, Michael; Perrakis, Stylianos - In: Risk and decision analysis 5 (2014) 2/3, pp. 99-112

Persistent link: https://www.econbiz.de/10011285063

On Lasso-type estimation for dynamical systems with small noise

Iacus, Stefano Maria - 2010

Persistent link: https://www.econbiz.de/10011752306

Variation-based tests for volatility misspecification

Papanicolaou, Alex; Giesecke, Kay - In: Journal of econometrics 191 (2016) 1, pp. 217-230

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Diffusion in random networks : impact of degree distribution

Manshadi, Vahideh; Misra, Sidhant; Rodilitz, Scott - In: Operations research 68 (2020) 6, pp. 1722-1741

Persistent link: https://www.econbiz.de/10012392158

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. - In: Journal of economic dynamics & control 100 (2019), pp. 297-313

Persistent link: https://www.econbiz.de/10012130974

Why does a human die? : a structural approach to cohort-wise mortality prediction under survival energy hypothesis

Shimizu, Yasutaka; Minami, Yuki; Ito, Ryunosuke - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 191-219

Persistent link: https://www.econbiz.de/10012437278

Quadrinomial trees with stochastic volatility to value real options

Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 282-299

Purpose - The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination. Design/methodology/approach - This article uses...

Persistent link: https://www.econbiz.de/10012813881