Affine Transformations of Itô Diffusions and their Transition Densities

by Sanae RUJIVAN
Published 2011-11-01

Closed-Form Expansions for Transition Densities of Convenience Yield Processes

by Sanae RUJIVAN
Published 2011-11-01

Parameter Estimation of the Extended Vasiček Model

by Sanae RUJIVAN
Published 2011-11-01

A closed-form formula for the conditional expectation of the extended CIR process

by Nopporn Thamrongrat, Sanae Rujivan
Published 2020-04-01

An analytical formula for pricing interest rate swaps in terms of bond prices under the extended Cox-Ingersoll Ross model

by Nopporn Thamrongrat, Sanae Rujivan
Published 2021-08-01

An explicit solution of a recurrence differential equation and its application in determining the conditional moments of quadratic variance diffusion processes

by Kiattisak Prathom, Sanae Rujivan
Published 2021-08-01

A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process

by Kittisak Chumpong, Khamron Mekchay, Sanae Rujivan
Published 2020-08-01