SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
0 references·16 citing·36 second hop
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Consistency Problems for Heath-Jarrow-Mor…Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2020)Generalized Feller processes …Long-Term Risk: A Martingale Approach (2017)Long-Term Risk: A Martingale …A general HJM framework for multiple yield curve modelling (2016)A general HJM framework for m…Quadratic Variance Swap Models (2013)Quadratic Variance Swap ModelsTerm Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)Term Structure Models Driven …A stochastic control problem with delay arising in a pension fund model (2010)A stochastic control problem …Local volatility dynamic models (2008)Local volatility dynamic mode…Existence of Lévy term structure models (2007)Existence of Lévy term struct…Consistent Variance Curve Models (2006)Consistent Variance Curve Mod…A theory of bond portfolios (2005)A theory of bond portfoliosOn the geometry of the term structure of interest rates (2004)On the geometry of the term s…Chaos and coherence: a new framework for interest–rate modelling (2004)Chaos and coherence: a new fr…A characterization of hedging portfolios for interest rate contingent claims (2004)A characterization of hedging…Existence of invariant manifolds for stochastic equations in infinite dimension (2003)Existence of invariant manifo…SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002)SEPARABLE TERM STRUCTURES AND…Entropy and information in the interest rate term structure (2002)Entropy and information in th…PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE (2010)Stochastic Differential Equations and Diffusion Processes (1983)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Ekonometryczne modelowanie dynamiki polskiego rynku finansowego (2004)Time to Build and Aggregate Fluctuations (1982)Brownian Motion and Stochastic Calculus (2007)A Stochastic Portfolio Optimization Model with Bounded Memory (2011)Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)A hybrid stochastic differential reinsurance and investment game with bounded memory (2021)Financial Modelling with Jump Processes (2003)Stochastic Integration and Differential Equations (2005)Mean reversion for HJMM forward rate models (2010)Heath–Jarrow–Morton–Musiela equation with Lévy perturbation (2012)On the uniqueness of solutions of stochastic differential equations (1971)A Theory of the Term Structure of Interest Rates (1985)Affine processes are regular (2010)CONDITIONAL DENSITY MODELS FOR ASSET PRICING (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (2011)STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2012)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)SOLVABLE AFFINE TERM STRUCTURE MODELS (2007)An equilibrium characterization of the term structure (1977)Time-inhomogeneous affine processes (2004)Martingale Methods in Financial Modelling (1997)A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004)Financial Derivatives in Theory and Practice (2004)Information, Inattention, Perception, and Discounting (2020)Bond Variance Risk Premiums (2016)A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market (2018)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 2003Existence of invariant manifolds for stochastic equations in infinite dimension118 cited
  • 2006Consistent Variance Curve Models114 cited
  • 2004On the geometry of the term structure of interest rates110 cited
  • 2013Quadratic Variance Swap Models105 cited
  • 2005A theory of bond portfolios101 cited
  • 2004Chaos and coherence: a new framework for interest–rate modelling99 cited
  • 2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity96 cited
  • 2010A stochastic control problem with delay arising in a pension fund model89 cited
  • 2002Entropy and information in the interest rate term structure84 cited
  • 2007Existence of Lévy term structure models77 cited
  • 2008Local volatility dynamic models76 cited
  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited
  • 2017Long-Term Risk: A Martingale Approach69 cited
  • 2002SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM67 cited
  • 2016A general HJM framework for multiple yield curve modelling64 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2020Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case63 cited