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Found 624 Documents (Results 1–100)

The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools. (English) Zbl 1527.91001

Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-031-23869-7/hbk; 978-3-031-23870-3/ebook). xii, 353 p. (2023).
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Heat kernel interest rate models with time-inhomogeneous Markov processes. (English) Zbl 1489.91274

Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 179-193 (2022).
MSC:  91G30 35K08 60G51
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Stochastic interest rate modeling with fixed income derivative pricing. 3rd edition. (English) Zbl 1496.91001

Advanced Series on Statistical Science & Applied Probability 22. Singapore: World Scientific (ISBN 978-981-12-2660-1/hbk; 978-981-12-2662-5/ebook). xvii, 354 p. (2022).
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Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate. (English) Zbl 1499.91168

Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 47-57 (2021).
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Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 1454.91225

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059-3098 (2021).
MSC:  91G10 91G20 91G30
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Dynamic term structure models using principal components analysis near the zero lower bound. (English) Zbl 1454.91316

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2199-2250 (2021).
MSC:  91G30 62P05 62H25
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