Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Equivalent and absolutely continuous measure changes for jump-diffusion processes

13 references·16 citing·41 second hop

FromToDepth

this work references cited by second hop

References

1985A Theory of the Term Structure of Interest Rates8,333 cited
1999Continuous Martingales and Brownian Motion6,200 cited
2003Limit Theorems for Stochastic Processes2,529 cited
2003Affine processes and applications in finance1,044 cited
2001Statistics of Random Processes514 cited
1994Continuous Exponential Martingales and BMO422 cited
2001Exponential Functionals of Brownian Motion and Related Processes295 cited
1998Complete Models with Stochastic Volatility282 cited
2002The cumulant process and Esscher's change of measure280 cited
1978Sur l'int�grabilit� uniforme des martingales exponentielles162 cited
1998Complications with stochastic volatility models157 cited
2002A Note on Option Pricing for the Constant Elasticity of Variance Model123 cited
1973On an Identity for Stochastic Integrals106 cited

Cited by

2011On strong solutions for positive definite jump diffusions73 cited
2012Portfolios and risk premia for the long run67 cited
2009Exponentially affine martingales, affine measure changes and exponential moments of affine processes

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

61 cited

2013On the hedging of options on exploding exchange rates57 cited

2011Optimal arbitrage under model uncertainty55 cited

2008Yield curve shapes and the asymptotic short rate distribution in affine one-factor models50 cited

2014When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method49 cited

2010DYNAMIC CDO TERM STRUCTURE MODELING49 cited

2016Consumption–investment optimization with Epstein–Zin utility in incomplete markets47 cited

2021A weak solution theory for stochastic Volterra equations of convolution type39 cited

2004Market Price of Risk Specifications for Affine Models: Theory and Evidence39 cited

2015The martingale property in the context of stochastic differential equations36 cited

2013Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model34 cited

2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching31 cited

2010A characterization of the martingale property of exponentially affine processes31 cited

2012A new proof for the conditions of Novikov and Kazamaki31 cited