Pages that link to "Item:Q1425484"
From MaRDI portal
The following pages link to Affine processes and applications in finance (Q1425484):
Displaying 50 items.
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- Infinite-dimensional polynomial processes (Q2022767) (← links)
- Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
- Multiple yield curve modelling with CBI processes (Q2037767) (← links)
- A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
- On the boundary behavior of multi-type continuous-state branching processes with immigration (Q2064884) (← links)
- Simplified stochastic calculus via semimartingale representations (Q2076652) (← links)
- Markov-modulated affine processes (Q2080289) (← links)
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball (Q2102112) (← links)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
- Machine learning with kernels for portfolio valuation and risk management (Q2120539) (← links)
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty (Q2122611) (← links)
- Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688) (← links)
- Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
- Ramsey rule with forward/backward utility for long-term yield curves modeling (Q2145705) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Pricing insurance premia: a top down approach (Q2151652) (← links)
- Dynamic bivariate mortality modelling (Q2152246) (← links)
- Fundamental bubbles in equity markets (Q2156535) (← links)
- Affine pure-jump processes on positive Hilbert-Schmidt operators (Q2157326) (← links)
- Moments for Hawkes processes with gamma decay kernel functions (Q2157395) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- A growth-fragmentation model related to Ornstein-Uhlenbeck type processes (Q2179251) (← links)
- Geometric ergodicity of affine processes on cones (Q2182630) (← links)
- A generalized Cox-Ingersoll-Ross equation with growing initial conditions (Q2182793) (← links)
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps (Q2184605) (← links)
- A consistent stochastic model of the term structure of interest rates for multiple tenors (Q2191452) (← links)
- First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844) (← links)
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes'' (Q2195929) (← links)
- Existence of densities for multi-type continuous-state branching processes with immigration (Q2196373) (← links)
- On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria (Q2201509) (← links)
- Testing and inference for fixed times of discontinuity in semimartingales (Q2203627) (← links)
- A pure-jump mean-reverting short rate model (Q2209739) (← links)
- Two frameworks for pricing defaultable derivatives (Q2213633) (← links)
- Mean reversion in stochastic mortality: why and how? (Q2219628) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- Infinite dimensional affine processes (Q2229682) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
- Infinitely divisible multivariate and matrix gamma distributions (Q2252892) (← links)
- Stochastic equations of non-negative processes with jumps (Q2267518) (← links)
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
- A limit theorem of two-type Galton-Watson branching processes with immigration (Q2270870) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- American and European options in multi-factor jump-diffusion models, near expiry (Q2271720) (← links)
- On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case (Q2273199) (← links)
- Affine Volterra processes (Q2286463) (← links)
