Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility
Article in Research in International Business and Finance (June 2024)
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
Article in Computational Management Science (April 2024)
Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities
Book chapter (June 2019)