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
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.237 seconds