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Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations


  • F. Klebaner


  • E. Azmy



No abstract is available for this item.

Suggested Citation

  • F. Klebaner & E. Azmy, 2010. "Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 365-372, December.
  • Handle: RePEc:kap:apfinm:v:17:y:2010:i:4:p:365-372 DOI: 10.1007/s10690-009-9109-1

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    References listed on IDEAS

    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    2. J.M.PAlbin, J.M.P & Astrup Jensen, Bjarne & Muszta, Anders & Martin, Richter, 2007. "On Volatility induced Stationarity for Stochastic Differential Equations," Working Papers 2006-10, Copenhagen Business School, Department of Finance.
    3. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
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