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L�vy term structure models: No-arbitrage and completeness
5 references·16 citing·41 second hop
L�vy term structure models: No-arbitrage and completeness (2004)L�vy term structure models: No-arbitrage …Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Lévy Processes in Finance: Th…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Towards a general theory of bond markets (1997)Towards a general theory of b…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Fourier-Based Valuation Methods in Mathematical Finance (2013)Fourier-Based Valuation Metho…General theory of geometric Lévy models for dynamic asset pricing (2012)General theory of geometric L…A multiple-curve HJM model of interbank risk (2012)A multiple-curve HJM model of…Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)Term Structure Models Driven …LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE (2010)LOCAL WELL-POSEDNESS OF MUSIE…COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS (2010)COMPLETENESS OF BOND MARKET D…Risk-neutral compatibility with option prices (2009)Risk-neutral compatibility wi…Jump–Type Lévy Processes (2009)Jump–Type Lévy ProcessesExponentially affine martingales, affine measure changes and exponential moments of affine processes (2009)Exponentially affine martinga…Parametric and nonparametric models and methods in financial econometrics (2008)Parametric and nonparametric …Exponential moments for HJM models with jumps (2007)Exponential moments for HJM m…Existence of Lévy term structure models (2007)Existence of Lévy term struct…Calibration of Lévy Term Structure Models (2007)Calibration of Lévy Term Stru…VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (2006)VALUATION OF FLOATING RANGE N…Time-inhomogeneous Levy processes in interest rate and credit risk models (2005)Time-inhomogeneous Levy proce…The Lévy LIBOR model (2005)The Lévy LIBOR modelThe Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Numerical valuation of options with jumps in the underlying (2004)Brownian Motion and Stochastic Calculus (2007)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Financial Modelling with Jump Processes (2003)Limit Theorems for Stochastic Processes (2003)COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA (2013)A General HJM Framework for Multiple Yield Curve Modeling (2014)Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (2015)An equilibrium characterization of the term structure (1977)Continuous-time term structure models: Forward measure approach (1997)The Term Structure of Interest Rates as a Random Field (2000)Stochastic Integration and Differential Equations (2005)The pricing of commodity contracts (1976)Jump-adapted discretization schemes for Lévy-driven SDEs (2010)MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (2010)EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (2012)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)On the uniqueness of solutions of stochastic differential equations (1971)Affine processes are regular (2010)CONDITIONAL DENSITY MODELS FOR ASSET PRICING (2012)A general HJM framework for multiple yield curve modelling (2016)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Local volatility dynamic models (2008)From implied to spot volatilities (2009)TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Mean reversion for HJMM forward rate models (2010)Heath–Jarrow–Morton–Musiela equation with Lévy perturbation (2012)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997Towards a general theory of bond markets334 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited

Cited by

  • 2005The Lévy LIBOR model111 cited
  • 2010Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity96 cited
  • 2009Risk-neutral compatibility with option prices83 cited
  • 2007Existence of Lévy term structure models77 cited
  • 2012A multiple-curve HJM model of interbank risk63 cited
  • 2009Exponentially affine martingales, affine measure changes and exponential moments of affine processes61 cited
  • 2010LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE56 cited
  • 2007Exponential moments for HJM models with jumps55 cited
  • 2005Time-inhomogeneous Levy processes in interest rate and credit risk models51 cited
  • 2009Jump–Type Lévy Processes41 cited

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  • 2006VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS36 cited
  • 2013Fourier-Based Valuation Methods in Mathematical Finance36 cited
  • 2007Calibration of Lévy Term Structure Models32 cited
  • 2012General theory of geometric Lévy models for dynamic asset pricing30 cited
  • 2008Parametric and nonparametric models and methods in financial econometrics28 cited
  • 2010COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS27 cited