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2019

2019

The investigation of the affine term structure of interest rates started in Chap. 3 continues with the use of yield curves and… Expand

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2016

2016

This paper is concerned with the parameter estimation problem for Cox–Ingersoll–Ross model based on discrete observation. First… Expand

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Highly Cited

2013

Highly Cited

2013

We study the estimation of a stable Cox–Ingersoll–Ross model, which is a special subcritical continuous-state branching process… Expand

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2010

2010

This paper shows how to build in a computationally efficient way a maximum simulated likelihood procedure to estimate the Cox… Expand

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Highly Cited

2002

Highly Cited

2002

Three processes reflecting persistence of volatility are initially formulated by evaluating three Levy processes at a time change… Expand

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Highly Cited

1997

Highly Cited

1997

In geometrical camera calibration the objective is to determine a set of camera parameters that describe the mapping between 3-D… Expand

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Highly Cited

1996

Highly Cited

1996

This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate… Expand

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Highly Cited

1988

Highly Cited

1988

A machine is shown for conditioning a tire carcass for recapping wherein the tire is rotated while the crown is rasped to size… Expand

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Highly Cited

1979

Highly Cited

1979

This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many… Expand

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Highly Cited

1964

Highly Cited

1964

It is suggested that the economics of present large-scale scientific computers could benefit from a greater investment in… Expand

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