Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.
Financial Modelling with Jump Processes
2 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 2representative citing papers
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.
citing papers explorer
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Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration
Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.
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Option prices from operational-time reaction-boundary lattices
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.