Holomorphic transforms with application to affine processes

DOI10.1016/j.jfa.2009.03.013zbMath1178.60034arXiv0807.1289OpenAlexW3122949427MaRDI QIDQ2391274

Jörg Kampen, Denis Belomestny, John G. M. Schoenmakers

Publication date: 24 July 2009

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.1289

zbMATH Keywords

affine processholomorphic transformItô-Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Markov semigroups and applications to diffusion processes (47D07) Transition functions, generators and resolvents (60J35)

Related Items (2)

Option Pricing in Affine Generalized Merton Models ⋮ Multiple stochastic volatility extension of the Libor market model and its implementation

Cites Work

• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
• Affine processes and applications in finance
• A Course in Enumeration
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Applied stochastic control of jump diffusions
• A general characterization of one factor affine term structure models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Holomorphic transforms with application to affine processes