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Affine multiple yield curve models
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New Evidence from the Credit Default Swap Market (2004)Market Liquidity and Funding Liquidity (2008)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2014)What Is a Prime Bank? A Euribor–OIS Spread Perspective (2014)Asset Pricing under the Quadratic Class (2002)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)
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References

  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1989An Exact Bond Option Formula731 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates278 cited
  • 2001On the Term Structure of Default Premia in the Swap and LIBOR Markets228 cited
  • 2012The Term Structure of Interbank Risk193 cited
  • 2011Affine processes on positive semidefinite matrices149 cited
  • 2016Linear‐Rational Term Structure Models108 cited
  • 2002PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS108 cited
  • 2009A multi-quality model of interest rates105 cited
  • 2006A Didactic Note on Affine Stochastic Volatility Models92 cited
  • 2001A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models90 cited
  • 1996Bond, futures and option evaluation in the quadratic interest rate model86 cited

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2004
Time-inhomogeneous affine processes
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