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MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS
9 references·2 citing·37 second hop
MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS (2004)MODELING PRIVATE EQUITY FUNDS AND PRIVATE…Introduction au calcul stochastique appliqué à la finance (1997)Introduction au calcul stocha…SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)SOLUTION OF THE EXTENDED CIR …Consistency and Asymptotic Normality of an Approximate Maximum Likelihood Estimator for Discretely Observed Diffusion Processes (1995)Consistency and Asymptotic No…A simple class of square-root interest-rate models (1995)A simple class of square-root…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence (2010)Modeling the Cash Flow Dynami…VC Funds: Aging Brings Myopia (2006)VC Funds: Aging Brings MyopiaAn Intertemporal Capital Asset Pricing Model (1973)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Financial Intermediation and Delegated Monitoring (1984)The structure and governance of venture-capital organizations (1990)Optimal Investment, Monitoring, and the Staging of Venture Capital (1995)Stochastic Differential Equations and Applications (1976)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Quadratic Term Structure Models (2000)A dynamic programming approach for pricing options embedded in bonds (2006)SELF EXCITING THRESHOLD INTEREST RATES MODELS (2006)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)Maximum likelihood estimation of time-inhomogeneous diffusions (2003)Theory of rational option pricing (2005)Time Dependent Heston Model (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)A P.D.E. approach to Asian options: analytical and numerical evidence (1997)Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2006)Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Estimating Functions for Discretely Observed Diffusions: A Review (1997)Nonparametric estimation of American options’ exercise boundaries and call prices (2000)Estimation of dynamic models with nonparametric simulated maximum likelihood (2011)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION226 cited
  • 1997Introduction au calcul stochastique appliqué à la finance90 cited
  • 1995Consistency and Asymptotic Normality of an Approximate Maximum Likelihood Estimator for Discretely Observed Diffusion Processes72 cited
  • 1995A simple class of square-root interest-rate models57 cited

Cited by

  • 2006VC Funds: Aging Brings Myopia16 cited
  • 2010Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence14 cited

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