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Heat kernel methods in finance: the SABR model
Heat kernel methods finance the SABR model Pricing of Securities
2012/3/2
The SABR model is a stochastic volatility model not admitting a closed form solution. Hagan, Kumar, Leniewski and Woodward have obtained an approximate solution by means of perturbative techniques. A ...
A Heat Kernel Approach to Interest Rate Models
Interest rate models Markov-functional state price density heat
2010/11/2
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...