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Maximum principle for general partial information nonzero sum stochastic differential games and applications

Nie, Tianyang; Wang, Falei; Yu, Zhiyong - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 608-631

Persistent link: https://www.econbiz.de/10013198740

Continuous-time term structure models

Musiela, Marek; Rutkowski, Marek - 1996

Persistent link: https://www.econbiz.de/10000940406

Credit risk : modeling, valuation and hedging

Bielecki, Tomasz R.; Rutkowski, Marek - 2002

Persistent link: https://www.econbiz.de/10001621020

Continuous-time term structure models : forward measure approach

Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291

Persistent link: https://www.econbiz.de/10001226612

Continuous-time term structure models

Musiela, Marek; Rutkowski, Marek - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000602499

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27

Persistent link: https://www.econbiz.de/10010505183

Forward start options under stochastic volatility and stochastic interest rates

Ahlip, Rehez; Rutkowski, Marek - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 208-225

Persistent link: https://www.econbiz.de/10003855780

Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates

Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571

Persistent link: https://www.econbiz.de/10011619055

Forward Start Options Under Stochastic Volatility and Stochastic Interest Rates

Ahlip, Rehez Ajmal - 2009

Forward start options are examined in Heston's (Review of Financial Studies,Vol. 6, pp. 327–343, 1993) stochastic volatility model with the CIR (Econometrica, Vol. 53, pp. 385–408, 1985) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to...

Persistent link: https://www.econbiz.de/10013153471