SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asymptotic properties of Monte Carlo estimators of diffusion processes
16 references·0 citing·31 second hop
Asymptotic properties of Monte Carlo estimators of diffusion processes (2005)Asymptotic properties of Monte Carlo esti…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Stochastic Analysis (1997)Stochastic AnalysisTesting Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Stein’s method on Wiener chaos (2008)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1997Stochastic Analysis1,035 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

617 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • Cited by

    No citing works inside the corpus for this window.