A Dual-Curve Short Rate Model with Multi-Factor Stochastic Volatility: I. Asymptotic Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.2634313 ◽

2015 ◽

Author(s):

Andrew Lesniewski ◽

Sun Heng ◽

Qi Wu

Keyword(s):

Asymptotic Analysis ◽

Stochastic Volatility ◽

Rate Model ◽

Dual Curve

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Dual-curve Hull–White interest rate model with stochastic volatility

Japan Journal of Industrial and Applied Mathematics ◽

10.1007/s13160-017-0260-1 ◽

2017 ◽

Vol 34 (3) ◽

pp. 711-745

Author(s):

Mei Choi Chiu ◽

Wanyang Liang ◽

Hoi Ying Wong

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Rate Model ◽

Interest Rate Model ◽

Dual Curve

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European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

IMA Journal of Applied Mathematics ◽

10.1093/imamat/hxu033 ◽

2014 ◽

Vol 80 (4) ◽

pp. 981-1008 ◽

Cited By ~ 5

Author(s):

R. E. Caflisch ◽

G. Gambino ◽

M. Sammartino ◽

C. Sgarra

Keyword(s):

Asymptotic Analysis ◽

Option Pricing ◽

Transaction Costs ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing

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Asymptotic analysis of steady two-reactant premixed flames using a step-function reaction rate model

Combustion and Flame ◽

10.1016/j.combustflame.2016.07.027 ◽

2016 ◽

Vol 172 ◽

pp. 280-288 ◽

Cited By ~ 1

Author(s):

Tarek Echekki

Keyword(s):

Asymptotic Analysis ◽

Reaction Rate ◽

Premixed Flames ◽

Step Function ◽

Rate Model

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Filtering and Identification of Interest Rate Model with Stochastic Volatility

Proceedings of the 44th IEEE Conference on Decision and Control ◽

10.1109/cdc.2005.1582992 ◽

2006 ◽

Author(s):

Shin Ichi Aihara ◽

A. Bagchi

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Rate Model ◽

Interest Rate Model

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ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON'S STOCHASTIC VOLATILITY MODEL

Dynamic Systems and Applications ◽

10.12732/dsa.v27i2.8 ◽

2018 ◽

Vol 27 (1) ◽

Author(s):

JI-HUN YOON ◽

SOTHEARA VENG

Keyword(s):

Asymptotic Analysis ◽

Portfolio Optimization ◽

Stochastic Volatility ◽

Optimization Problem ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Portfolio Optimization Problem

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Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach

Glasnik Matematicki ◽

10.3336/gm.48.1.15 ◽

2013 ◽

Vol 48 (1) ◽

pp. 185-210 ◽

Cited By ~ 2

Author(s):

Friedrich Hubalek ◽

Petra Posedel

Keyword(s):

Asymptotic Analysis ◽

Stochastic Volatility ◽

Function Approach ◽

Estimating Function ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Martingale Estimating Function

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On the variance and skewness of the swap rate in a stochastic volatility interest rate model

South African Statistical Journal ◽

10.37920/sasj.2021.55.2.2 ◽

2021 ◽

Vol 55 (2) ◽

pp. 109-123

Author(s):

Lars Palapies

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Rate Model ◽

Interest Rate Model

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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model

The Journal of Computational Finance ◽

10.21314/jcf.2015.297 ◽

2015 ◽

Vol 18 (3) ◽

pp. 59-98

Author(s):

Leslie Ng

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Rate Model ◽

Interest Rate Model

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Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion

Electronic Journal of Probability ◽

10.1214/ejp.v16-879 ◽

2011 ◽

Vol 16 (0) ◽

pp. 764-791 ◽

Cited By ~ 5

Author(s):

Masaaki Fukasawa

Keyword(s):

Asymptotic Analysis ◽

Stochastic Volatility ◽

Edgeworth Expansion

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Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-89824-7_71 ◽

2018 ◽

pp. 397-401

Author(s):

Lourdes Gómez-Valle ◽

Julia Martínez-Rodríguez

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Real World ◽

Rate Model ◽

Risk Neutral ◽

Interest Rate Model ◽

Risk Neutral Measures ◽

Versus Risk

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