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MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
12 references·9 citing·40 second hopsampled
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (2010)MOMENT EXPLOSIONS AND STATIONARY DISTRIBU…Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Empirical Dynamic Asset Pricing (2006)Empirical Dynamic Asset Prici…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…Regular variation of GARCH processes (2002)Regular variation of GARCH pr…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…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Interest rate volatility and the shape of the term structure (1994)Interest rate volatility and …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (2017)A GENERALIZED CONTAGION PROCE…Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (2016)Pitfalls of the Fourier Trans…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…Smiles all around: FX joint calibration in a multi-Heston model (2013)Smiles all around: FX joint c…Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums (2012)Macroeconomic Determinants of…Four theorems and a financial crisis (2012)Four theorems and a financial…Dynamic Valuation of Delinquent Credit-Card Accounts (2011)Dynamic Valuation of Delinque…Affine diffusion processes: theory and applications (2009)Affine diffusion processes: t…The Pricing of Options and Corporate Liabilities (1973)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)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Generalized autoregressive conditional heteroskedasticity (1986)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Copulas: Tales and facts (2006)Statistical inference for time-varying ARCH processes (2006)The extremogram: A correlogram for extreme events (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Spanning and derivative-security valuation (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)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)Efficient Simulation of the Heston Stochastic Volatility Model (2006)Brownian Motion and Stochastic Calculus (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 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
  • 2003Affine processes and applications in finance1,044 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 2006Moment explosions in stochastic volatility models403 cited
  • 2002Regular variation of GARCH processes359 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2006Empirical Dynamic Asset Pricing206 cited
  • 1994Interest rate volatility and the shape of the term structure66 cited

Cited by

  • 2013Smiles all around: FX joint calibration in a multi-Heston model55 cited
  • 2012Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums43 cited
  • 2014Stationarity and Ergodicity for an Affine Two-Factor Model

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36 cited
  • 2009Affine diffusion processes: theory and applications33 cited
  • 2011Dynamic Valuation of Delinquent Credit-Card Accounts29 cited
  • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited
  • 2017A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK27 cited
  • 2016Pitfalls of the Fourier Transform Method in Affine Models, and Remedies26 cited
  • 2012Four theorems and a financial crisis24 cited