Affine processes beyond stochastic continuity

DOI10.1214/19-AAP1483zbMath1432.60073arXiv1804.07556MaRDI QIDQ2299583

Yanyan Li

Publication date: 21 February 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07556

zbMATH Keywords

option pricingMarkov processinterest ratesemimartingaledefault riskmeasure differential equationsdividendsaffine processannouncement effectsstochastic discontinuity

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Non-linear affine processes with jumps ⋮ Noncausal affine processes with applications to derivative pricing ⋮ The martingale problem method revisited ⋮ Term structure modeling with overnight rates beyond stochastic continuity ⋮ Infinite dimensional affine processes ⋮ Term structure modelling for multiple curves with stochastic discontinuities ⋮ Markov-modulated affine processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Affine processes on symmetric cones
• Affine processes on positive semidefinite matrices
• Term-structure models. A graduate course
• Affine processes and applications in finance
• General dynamic term structures under default risk
• The fourth characteristic of a semimartingale
• Time-inhomogeneous affine processes
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Functional limit theorems for multitype branching processes and generalized Pólya urns.
• THE AFFINE LIBOR MODELS
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
• The stochastic Fubini theorem revisited
• A Chain Rule Formula in the Space BV and Applications to Conservation Laws
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Discrete Time Term Structure Theory and Consistent Recalibration Models
• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• An Abstract Measure Differential Equation
• Existence and stability of measure differential equations

This page was built for publication: Affine processes beyond stochastic continuity