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Report NEP-ORE-2009-11-21
This is the archive for NEP-ORE, a report on new working papers in the area of Operations Research. Walter Frisch issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ORE
The following items were announced in this report:
- Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009, "Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 255, Aug.
- Zhijie Xiao & Roger Koenker, 2009, "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 725, Mar.
- Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009, "An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 256, Aug.