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An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2011-11Discussion paper series. CIRJE-FCIRJE-F-824
Other Libraries in Japan
  • Subject Heading...g-normal model Jump-diffusion model Integration-by-parts Malliavi...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-695
Other Libraries in Japan
  • Subject Heading...g-normal model Jump-diffusion model Integration-by-parts Malliavi...

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Subject Heading...ate derivative Jump-diffusion model LIBOR LIBOR market model

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-08CRR Working Paper, Series BB-7p.1-21
Other Libraries in Japan
  • Subject Heading...ate derivative Jump-diffusion model LIBOR LIBOR market model Stoc...

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