Related references
Note: Only part of the references are listed.Regime switching affine processes with applications to finance
Misha van Beek et al.
FINANCE AND STOCHASTICS (2020)
Time-inhomogeneous polynomial processes
Maria Fernanda Del Carmen Agoitia Hurtado et al.
STOCHASTIC ANALYSIS AND APPLICATIONS (2020)
Infinite dimensional affine processes
Thorsten Schnaidt et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2020)
How safe are european safe bonds? An analysis from the perspective of modern credit risk models
Rudiger Frey et al.
JOURNAL OF BANKING & FINANCE (2020)
The characteristic function of rough Heston models
Omar El Euch et al.
MATHEMATICAL FINANCE (2019)
AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY
Martin Keller-Ressel et al.
ANNALS OF APPLIED PROBABILITY (2019)
Hawkes processes and their applications to finance: a review
Alan G. Hawkes
QUANTITATIVE FINANCE (2018)
The microstructural foundations of leverage effect and rough volatility
Omar El Euch et al.
FINANCE AND STOCHASTICS (2018)
Solving high-dimensional partial differential equations using deep learning
Jiequn Han et al.
PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA (2018)
A Feynman-Kac-type formula for Levy processes with discontinuous killing rates
Kathrin Glau
FINANCE AND STOCHASTICS (2016)
Affine Processes on Symmetric Cones
Christa Cuchiero et al.
JOURNAL OF THEORETICAL PROBABILITY (2016)
EXPONENTIAL MOMENTS OF AFFINE PROCESSES
Martin Keller-Ressel et al.
ANNALS OF APPLIED PROBABILITY (2015)
Hawkes Processes in Finance
Emmanuel Bacry et al.
MARKET MICROSTRUCTURE AND LIQUIDITY (2015)
Polynomial processes and their applications to mathematical finance
Christa Cuchiero et al.
FINANCE AND STOCHASTICS (2012)
AFFINE PROCESSES ON POSITIVE SEMIDEFINITE MATRICES
Christa Cuchiero et al.
ANNALS OF APPLIED PROBABILITY (2011)
Affine processes are regular
Martin Keller-Ressel et al.
PROBABILITY THEORY AND RELATED FIELDS (2011)
Multivariate time changes for Levy asset models: Characterization and calibration
Elisa Luciano et al.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2010)
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
Jan Kallsen et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2010)
A multivariate jump-driven financial asset model
Elisa Luciano et al.
QUANTITATIVE FINANCE (2006)
Option pricing for pure jump processes with Markov switching compensators
RJ Elliott et al.
FINANCE AND STOCHASTICS (2006)
Equivalent and absolutely continuous measure changes for jump-diffusion processes
P Cheridito et al.
ANNALS OF APPLIED PROBABILITY (2005)
Time-inhomogeneous affine processes
D Filipovic
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2005)
The fine structure of asset returns: An empirical investigation
P Carr et al.
JOURNAL OF BUSINESS (2002)
Floating-fixed credit spreads
D Duffie et al.
FINANCIAL ANALYSTS JOURNAL (2001)
On the numerical solution of one-dimensional PDEs using adaptive methods based on equidistribution
G Beckett et al.
JOURNAL OF COMPUTATIONAL PHYSICS (2001)
Share Paper
