MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
From MaRDI portal
Publication:5190049
DOI10.1111/j.1467-9965.2009.00387.xzbMath1182.91215OpenAlexW2017742748MaRDI QIDQ5190049
Paul Glasserman, Kyoung-Kuk Kim
Publication date: 12 March 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00387.x
Related Items (16)
Stability analysis of Riccati differential equations related to affine diffusion processes ⋮ Stationarity and Ergodicity for an Affine Two-Factor Model ⋮ Geometric ergodicity of affine processes on cones ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions ⋮ A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK ⋮ On parameter estimation for critical affine processes ⋮ Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ Evaluating discrete dynamic strategies in affine models ⋮ Existence of limiting distribution for affine processes ⋮ Valuation of forward start options under affine jump-diffusion models ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Exponential moments of affine processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stability analysis of Riccati differential equations related to affine diffusion processes
- Affine processes and applications in finance
- Regular variation of GARCH processes.
- Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
- A Theory of the Term Structure of Interest Rates
- On the estimation of asymptotic stability regions: State of the art and new proposals
- Stability regions of nonlinear autonomous dynamical systems
- Sufficiency Conditions for Finite Escape Times in Systems of Quadratic Differential Equations
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Interest rate volatility and the shape of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
This page was built for publication: MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
