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Existence and uniqueness of recursive utilities without boundedness

Christensen, Timothy M. - In: Journal of economic theory 200 (2022), pp. 1-37

Persistent link: https://www.econbiz.de/10013192743

Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - 2001

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Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Advances in finance and stochastics : essays in honour …, (pp. 177-195). 2002

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Large time and small noise asymptotic results for mean reverting diffusion processes with applications

Callen, Jeffrey L.; Govindaraj, Suresh; Xu, Lin - In: Economic theory : official journal of the Society for … 16 (2000) 2, pp. 401-419

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Analysis of numerical integration schemes for the Heston model : a case study based on the pricing of investment certificates

Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - In: Risk management magazine 18 (2023) 2, pp. 13-26

The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity, it calculates the pay-off for all the...

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Continuous time modelling based on an exact discrete time representation

Chambers, Marcus J.; MacCrorie, J. Roderick; Thornton, … - University of Essex / Department of Economics - 2017

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Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

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A statistical equilibrium model of competitive firms

Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - In: Journal of economic dynamics & control 36 (2012) 1, pp. 136-149

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Optimal control of an energy storage facility under a changing economic environment and partial information

Shardin, Anton A.; Szölgyenyi, Michaela - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-27

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Quasi-likelihood estimation of a threshold diffusion process

Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484

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