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A Lévy HJM multiple-curve model with application to CVA computation
16 references·0 citing·41 second hop
A Lévy HJM multiple-curve model with application to CVA computation (2014)A Lévy HJM multiple-curve model with appl…Counterparty Credit Risk, Collateral and Funding (2013)Counterparty Credit Risk, Col…The Term Structure of Interbank Risk (2012)The Term Structure of Interba…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BILATERAL COUNTERPARTY RISK U…Analysis of Fourier Transform Valuation Formulas and Applications (2010)Analysis of Fourier Transform…A Fourier Transform Method for Spread Option Pricing (2010)A Fourier Transform Method fo…Interest Rates and The Credit Crunch: New Formulas and Market Models (2009)Interest Rates and The Credit…Interpolation Methods for Curve Construction (2006)Interpolation Methods for Cur…Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Characterization of dependenc…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)An Introduction to Copulas (1999)Limit Theorems for Stochastic Processes (2003)Multivariate supOU processes (2010)Volatility and Correlation (2012)Copulas in Econometrics (2014)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Stochastic Integration and Differential Equations (2005)Models for construction of multivariate dependence – a comparison study (2008)The Volatility of Realized Volatility (2008)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Pricing swing options and other electricity derivatives (2006)Forecasting the term structure of crude oil futures prices with neural networks (2015)“Options, Futures, and Other Derivatives” (2016)Kriging of financial term-structures (2016)The Behavior of Stock-Market Prices (1965)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)Modeling Financial Data with Stable Distributions (2003)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2006Characterization of dependence of multidimensional Lévy processes using Lévy copulas205 cited
  • 2006Interpolation Methods for Curve Construction193 cited
  • 2012The Term Structure of Interbank Risk193 cited
  • 2010A Fourier Transform Method for Spread Option Pricing182 cited
  • 2013Counterparty Credit Risk, Collateral and Funding176 cited
  • 2010Analysis of Fourier Transform Valuation Formulas and Applications164 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
  • 2009

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Interest Rates and The Credit Crunch: New Formulas and Market Models
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