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Continuous‐Time Methods in Finance: A Review and an Assessment

Citations

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Cited by:

  1. Joanne S. McGarry & Marcus J. Chambers, 2004. "Party formation and coalitional bargaining in a model of proportional representation," Discussion Papers 04-07, Department of Economics, University of Birmingham.
  2. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
  3. Chen, Songxi & Peng, Liang & Yu, Cindy, 2013. "Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions," MPRA Paper 46273, University Library of Munich, Germany.
  4. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
  5. Tao Chen & Yixuan Li & Renfang Tian, 2023. "A Functional Data Approach for Continuous-Time Analysis Subject to Modeling Discrepancy under Infill Asymptotics," Mathematics, MDPI, vol. 11(20), pages 1-27, October.
  6. Adriana Breccia, 2004. "Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors," Birkbeck Working Papers in Economics and Finance 0411, Birkbeck, Department of Economics, Mathematics & Statistics.
  7. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  8. Suleyman Basak & Anna Pavlova, 2005. "Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies," Studies in Economic Theory, in: Alessandro Citanna & John Donaldson & Herakles Polemarchakis & Paolo Siconolfi & Stephan E. Spear (ed.), Essays in Dynamic General Equilibrium Theory, pages 1-34, Springer.
  9. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
  10. Tarik Chakkour & Emmanuel Frénod, 2016. "Inverse problem and concentration method of a continuous-in-time financial model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-20, June.
  11. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  12. Lambrecht, Bart M., 2017. "Real options in finance," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 166-171.
  13. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology.
  14. Monica Gentile & Roberto Renò, 2005. "Specification Analysis of Diffusion Models for the Italian Short Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 51-83, February.
  15. Carré, Sylvain & Cohen, Daniel & Villemot, Sébastien, 2019. "The sources of sovereign risk: a calibration based on Lévy stochastic processes," Journal of International Economics, Elsevier, vol. 118(C), pages 31-43.
  16. Franklin Allen, 2001. "Do Financial Institutions Matter?," Journal of Finance, American Finance Association, vol. 56(4), pages 1165-1175, August.
  17. A. Hurn & J. Jeisman & K. Lindsay, 2007. "Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation," NCER Working Paper Series 9, National Centre for Econometric Research.
  18. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  19. Emmanuel Frenod & Tarik Chakkour, 2016. "A continuous-in-time financial model," Post-Print hal-01249324, HAL.
  20. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, February.
  21. Chang, Jinyuan & Chen, Songxi, 2011. "On the Approximate Maximum Likelihood Estimation for Diffusion Processes," MPRA Paper 46279, University Library of Munich, Germany.
  22. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  23. Mensink, Paul, 2004. "A comment on "An arbitrage-free approach to quasi-option value" by Coggins and Ramezani," Economics Working Papers 2004-06, Christian-Albrechts-University of Kiel, Department of Economics.
  24. Jonathan Batten & Warren Hogan & Francis In, 2002. "Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework," Australian Economic Papers, Wiley Blackwell, vol. 41(1), pages 115-128, March.
  25. Rasidah Mohd SAID, 2013. "Impact of Macroeconomic News on Malaysian Bond Credit Spreads," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(12), pages 1460-1472, December.
  26. F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
  27. Aman Ullah & Yong Bao & Yun Wang, 2014. "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers 201413, University of California at Riverside, Department of Economics.
  28. Pendharkar, Parag C., 2010. "Valuing interdependent multi-stage IT investments: A real options approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 847-859, March.
  29. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
  30. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 390-455.
  31. Yedidya Rabinovitz, 2017. "A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-22, June.
  32. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
  33. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
  34. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.
  35. Luke T. Miller, 2010. "PMA license valuation: A Bayesian learning real options approach," Review of Financial Economics, John Wiley & Sons, vol. 19(1), pages 28-37, January.
  36. Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the Firm€ٳ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  37. Masashi Ieda, 2022. "Continuous-Time Portfolio Optimization for Absolute Return Funds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 675-696, December.
  38. Ruiz-Porras, Antonio & Perez-Sicairos, Rene Benjamin, 2010. "Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México [A three-factor model," MPRA Paper 26631, University Library of Munich, Germany.
  39. Turvey, Calum G., 2002. "Can Hysteresis And Real Options Explain The Farmland Valuation Puzzle?," Working Papers 34131, University of Guelph, Department of Food, Agricultural and Resource Economics.
  40. Bala Rajaratnam & Kanshukan Rajaratnam & Myuran Rajaratnam, 2017. "A Theoretical Model for the Term Structure of Corporate Credit based on Competitive Advantage," European Financial Management, European Financial Management Association, vol. 23(2), pages 183-210, March.
  41. Marco Realdon, 2006. "Pricing the Credit Risk of Secured Debt and Financial Leasing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1298-1320, September.
  42. Johnson Kakeu, 2017. "Environmentally conscious investors and portfolio choice decisions," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 7(4), pages 360-378, October.
  43. Seppo Pynnonen & Warren Hogan & Jonathan Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(8), pages 583-606.
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