Bessel bridges decomposition with varying dimension. Applications to finance
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References listed on IDEAS
- Deelstra, G. & Delbaen, F., 1995. "Long-term returns in stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 163-169, October.
- Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models," ULB Institutional Repository 2013/7578, ULB -- Universite Libre de Bruxelles.
- Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
- Griselda Deelstra & Freddy Delbaen, 1995. "Long-term returns in stochastic interest rate models: convergence in law," ULB Institutional Repository 2013/7580, ULB -- Universite Libre de Bruxelles.
More about this item
KeywordsSquared Bessel process; Bessel bridges decomposition; Laplace transform; Lévy Ito representation; Financial applications;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-15 (All new papers)
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