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Search: subject:"affine process"
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Markov chain
11
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11
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11
Option pricing theory
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Affine process
8
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affine process
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Affine Process
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Lu, Yang
5
Fontana, Claudio
4
Gouriéroux, Christian
4
Gnoatto, Alessandro
3
Keller-Ressel, Martin
3
Szulda, Guillaume
3
Chen, Li
2
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Poor, H. Vincent
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YAMAZAKI, AKIRA
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Finance and stochastics
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International Journal of Theoretical and Applied Finance (IJTAF)
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ECONIS (ZBW)
15
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5
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CBI-time-changed Lévy processes
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2022
Persistent link: https://www.econbiz.de/10013347447
Saved in:
2
CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2021
Persistent link: https://www.econbiz.de/10013347432
Saved in:
3
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
Saved in:
4
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
-
2019
Persistent link: https://www.econbiz.de/10012237262
Saved in:
5
The role of jumps and options in the risk premia of interest rates
Lund, Bruno
- In:
Brazilian review of econometrics : BRE ; the review of …
38
(
2018
)
2
,
pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
Saved in:
6
Multiple yield curve modelling with CBI processes
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 579-610
Persistent link: https://www.econbiz.de/10012586190
Saved in:
7
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
Saved in:
8
Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
-
2015
Persistent link: https://www.econbiz.de/10011305204
Saved in:
9
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
10
Long term care and longevity
Gouriéroux, Christian
;
Lu, Yang
-
2013
Persistent link: https://www.econbiz.de/10010234126
Saved in:
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