22 citations · 37 across the 10 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
q-fin.PR2012★ 1 cited
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
Dongjae Lim, Lingfei Li, Vadim Linetsky
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as thei…
q-fin.PR2012★ 1 cited
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Lingfei Li, Vadim Linetsky
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that th…