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Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
14 references·3 citing·48 second hop
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this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2009Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives337 cited
  • 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models296 cited
  • 2007Stochastic integration in UMD Banach spaces130 cited
  • 2013Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes111 cited
  • 2010Multivariate supOU processes79 cited
  • 2010THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS71 cited
  • 2011Ambit Processes and Stochastic Partial Differential Equations50 cited
  • 2008Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models42 cited
  • 2014Modelling Electricity Futures by Ambit Fields41 cited
  • 2014Representation of Infinite-Dimensional Forward Price Models in Commodity Markets33 cited
  • 2015Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach29 cited

Cited by

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2019
An Uncertain Exponential Ornstein–Uhlenbeck Interest Rate Model with Uncertain CIR Volatility
17 cited
  • 2020Infinite dimensional affine processes17 cited
  • 2018The Heston stochastic volatility model in Hilbert space17 cited