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Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models
13 references·0 citing·37 second hop
Moment equations and Hermite expansion for nonlinear stochastic differential equations with application to stock price models (2006)Moment equations and Hermite expansion fo…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Transition Densities of Diffusion Processes (2002)Transition Densities of Diffu…Stochastic Differential Equations (2002)Stochastic Differential Equat…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…A Gaussian approach for continuous time models of the short-term interest rate (2001)A Gaussian approach for conti…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…Comparative study of estimation methods for continuous time stochastic processes (1997)Comparative study of estimati…Martingale Estimation Functions for Discretely Observed Diffusion Processes (1995)Martingale Estimation Functio…Continuous-Time Econometrics (1993)Continuous-Time EconometricsContinuous Time Econometric Modelling. (1992)Continuous Time Econometric M…Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Maximum Likelihood Estimation…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Stochastic Differential Equations. (1974)Stochastic Differential Equat…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Nonparametric Transition-Based Tests for Jump Diffusions (2009)The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis (2012)The term structure of equity and variance risk premia (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient estimation of conditional variance functions in stochastic regression (1998)Quadratic Term Structure Models: Theory and Evidence (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Brownian Motion and Stochastic Calculus (2007)Modeling financial contagion using mutually exciting jump processes (2015)Time Series Regression with a Unit Root (1987)Estimating stochastic volatility diffusion using conditional moments of integrated volatility (2002)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Long memory continuous time models (1996)Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Temporal aggregation of volatility models (2003)Option Pricing under Stochastic Interest Rates: An Empirical Investigation (2002)Estimating the Parameters of Stochastic Volatility Models Using Option Price Data (2014)Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process (1999)Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Linear quadratic regulation of systems with stochastic parameter uncertainties (2009)Continuous Time Modeling of Panel Data by means of SEM (2010)
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 2002Stochastic Differential Equations446 cited
  • 1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data355 cited
  • 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes348 cited
  • 1992Continuous Time Econometric Modelling.165 cited
  • 2002Transition Densities of Diffusion Processes105 cited
  • 1997Comparative study of estimation methods for continuous time stochastic processes77 cited
  • 1974Stochastic Differential Equations.72 cited
  • 2001A Gaussian approach for continuous time models of the short-term interest rate63 cited
  • 1993Continuous-Time Econometrics34 cited

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