COHERENT FOREIGN EXCHANGE MARKET MODELS
From MaRDI portal
Publication:2970322
DOI10.1142/S0219024917500078zbMath1396.91732OpenAlexW3122229604MaRDI QIDQ2970322
Publication date: 30 March 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500078
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the martingale property of certain local martingales
- Interest rate models -- theory and practice. With smile, inflation and credit
- On the duality principle in option pricing: semimartingale setting
- Esscher transform and the duality principle for multidimensional semimartingales
- The cumulant process and Esscher's change of measure
- Affine processes and applications in finance
- The mathematics of arbitrage
- Analysis of Fourier Transform Valuation Formulas and Applications
- A Theory of the Term Structure of Interest Rates
- An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
- Chaos and coherence: a new framework for interest–rate modelling
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
- A cross-currency Lévy market model
- Affine Diffusion Processes: Theory and Applications
- Financial Modelling with Jump Processes
- Changes of numéraire, changes of probability measure and option pricing
- THE WISHART SHORT RATE MODEL
- The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Arbitrage Theory in Continuous Time