CoxIngersollRoss model

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1	A Hidden Markov Stochastic Volatility Model for Energy Prices Robert J. Elliott∗ Tao Lin† Hong Miao‡ To describe the complex behavior of energy prices, we propose a stochastic volatility model, where Add to Reading List Source URL: www.bbk.ac.uk Language: English - Date: 2007-03-27 13:47:21 Mathematical finance Economy Applied mathematics Finance Volatility Stochastic volatility OrnsteinUhlenbeck process Benchmark CoxIngersollRoss model International Petroleum Exchange Volatility smile Implied volatility
2	MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t Add to Reading List Source URL: fam.tuwien.ac.at Language: English - Date: 2003-06-14 17:14:35 Mathematical finance BlackScholes model Implied volatility Stochastic volatility Risk-neutral measure Volatility Quantitative analyst Brownian motion CoxIngersollRoss model Optimal stopping Option Book:More Finance
3	TERM STRUCTURE OF INTEREST RATES Term Structure of Interest Rates This is the first of two articles on the term structure. In it, the authors discuss some term structure fundamentals and the measurement of the current t Add to Reading List Source URL: pluto.mscc.huji.ac.il Language: English - Date: 2014-02-02 05:57:49 Mathematical finance Fixed income analysis Interest rates Stochastic processes Actuarial science CoxIngersollRoss model Vasicek model Bond valuation Yield curve BlackDermanToy model Discounting Time value of money