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Affine Diffusion Processes: Theory and Applications
16 references·9 citing·32 second hop
Affine Diffusion Processes: Theory and Applications (2009)Affine Diffusion Processes: Theory and Ap…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …A multifactor volatility Heston model (2008)A multifactor volatility Hest…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Affine processes and applications in finance (2003)Affine processes and applicat…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (1998)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (2021)Closed-form formulas for cond…Optimal trade execution in order books with stochastic liquidity (2018)Optimal trade execution in or…Chebyshev interpolation for parametric option pricing (2018)Chebyshev interpolation for p…Stationarity and Ergodicity for an Affine Two-Factor Model (2014)Stationarity and Ergodicity f…An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)An Affine Multicurrency Model…Pricing average options under time-changed Lévy processes (2013)Pricing average options under…Valuation Equations for Stochastic Volatility Models (2012)Valuation Equations for Stoch…Quadratic hedging in affine stochastic volatility models (2009)Quadratic hedging in affine s…Affine Processes on Positive Semidefinite Matrices (2009)Affine Processes on Positive …The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 1998Specification Analysis of Affine Term Structure Models375 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2010Correlation Risk and Optimal Portfolio Choice265 cited
  • 2008

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A multifactor volatility Heston model
207 cited

Cited by

  • 2018Chebyshev interpolation for parametric option pricing47 cited
  • 2014Stationarity and Ergodicity for an Affine Two-Factor Model36 cited
  • 2018Optimal trade execution in order books with stochastic liquidity33 cited
  • 2009Affine Processes on Positive Semidefinite Matrices29 cited
  • 2012Valuation Equations for Stochastic Volatility Models28 cited
  • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited
  • 2009Quadratic hedging in affine stochastic volatility models26 cited
  • 2013Pricing average options under time-changed Lévy processes24 cited
  • 2021Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes22 cited