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Existence of Lévy term structure models
16 references·6 citing·34 second hop
Existence of Lévy term structure models (2007)Existence of Lévy term structure modelsA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Partial Differential Equations with Levy Noise (2007)Stochastic Partial Differenti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Consistency Problems for Heat…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…Bond Market Structure in the Presence of Marked Point Processes (1997)Bond Market Structure in the …VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Semimartingales (1982)SemimartingalesA model for interest rates with clustering effects (2016)A model for interest rates wi…On a stochastic heat equation with first order fractional noises and applications to finance (2012)On a stochastic heat equation…Heath–Jarrow–Morton–Musiela equation with Lévy perturbation (2012)Heath–Jarrow–Morton–Musiela e…Forward rate models with linear volatilities (2011)Forward rate models with line…Mean reversion for HJMM forward rate models (2010)Mean reversion for HJMM forwa…LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE (2010)LOCAL WELL-POSEDNESS OF MUSIE…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Interest Rate Dynamics and Consistent Forward Rate Curves (1999)The Term Structure of Simple Forward Rates with Jump Risk (2003)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)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)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Jump-diffusions in Hilbert spaces: existence, stability and numerics (2010)Multilevel Monte Carlo method for parabolic stochastic partial differential equations (2012)Moderate deviation principles for stochastic differential equations with jumps (2016)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 2007Stochastic Partial Differential Equations with Levy Noise475 cited
  • 1997Bond Market Structure in the Presence of Marked Point Processes385 cited
  • 1982Semimartingales358 cited
  • 1997Towards a general theory of bond markets334 cited
  • 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models296 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 2000

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Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
216 cited

Cited by

  • 2010LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE56 cited
  • 2010Mean reversion for HJMM forward rate models42 cited
  • 2012Heath–Jarrow–Morton–Musiela equation with Lévy perturbation42 cited
  • 2012On a stochastic heat equation with first order fractional noises and applications to finance40 cited
  • 2011Forward rate models with linear volatilities32 cited
  • 2016A model for interest rates with clustering effects31 cited