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A cross-currency Lévy market model
16 references·1 citing·33 second hop
A cross-currency Lévy market model (2006)A cross-currency Lévy market modelStochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…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 …The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…LIBOR and swap market models and measures (1997)LIBOR and swap market models …Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing foreign currency options under stochastic interest rates (1991)Pricing foreign currency opti…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Multivariate FX models with jumps: Triangles, Quantos and implied correlation (2017)Multivariate FX models with j…The Pricing of Options and Corporate Liabilities (1973)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Theory of Rational Option Pricing (1973)Stochastic Differential Equations and Diffusion Processes (1983)20 Testing option pricing models (1995)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The intersection of market and credit risk (2000)Brownian Motion and Stochastic Calculus (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)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)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)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
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1991Pricing foreign currency options under stochastic interest rates349 cited
  • 2005Stochastic Integration and Differential Equations. Second Edition.306 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2001Application of Generalized Hyperbolic Lévy Motions to Finance238 cited
  • 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited

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1997
Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
163 cited

Cited by

  • 2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation24 cited