University of Macau - Department of Finance and Business Economics
portfolio insurance, CPPI, commodity futures
Markov chain approximation, local volatility, jump-diffusions, cubic splines, option pricing
Filtering variance; Forecasting probability; Continuous time Markov chains
Short rate models, Nonlinear mean-reversion, Markov Chain approximation, Nonlinear filter, Quantitative easing
continuous time Markov chain, diffusion approximation, local consistency, option pricing
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