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Affine diffusion processes: theory and applications
16 references·2 citing·39 second hop
Affine diffusion processes: theory and applications (2009)Affine diffusion processes: theory and ap…Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities? (2017)Can Unspanned Stochastic Vola…MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)MOMENT EXPLOSIONS AND LONG-TE…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …Identification of Maximal Affine Term Structure Models (2008)Identification of Maximal Aff…A multifactor volatility Heston model (2008)A multifactor volatility Hest…SOLVABLE AFFINE TERM STRUCTURE MODELS (2007)SOLVABLE AFFINE TERM STRUCTUR…Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Moment explosions in stochastic volatility models (2006)Moment explosions in stochast…Wishart Quadratic Term Structure Models (2005)Wishart Quadratic Term Struct…QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004)QUADRATIC TERM STRUCTURE MODE…Affine processes and applications in finance (2003)Affine processes and applicat…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…On the uniqueness of solutions of stochastic differential equations (1971)On the uniqueness of solution…Nonlinear price impact and portfolio choice (2020)Nonlinear price impact and po…Affine Processes on Positive Semidefinite Matrices (2009)Affine Processes on Positive …Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)Limit Theorems for Stochastic Processes (2003)Hedging with Options in Models with Jumps (2007)Affine Diffusion Processes: Theory and Applications (2009)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Multivariate Simultaneous Generalized ARCH (1995)Volatility of Aggregate Volatility and Hedge Fund Returns (2014)Efficient Simulation of the Heston Stochastic Volatility Model (2006)Brownian Motion and Stochastic Calculus (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)A stochastic calculus model of continuous trading: Complete markets (1983)Stochastic differential equations with reflecting boundary conditions (1984)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Option pricing when correlations are stochastic: an analytical framework (2007)Affine processes on positive semidefinite matrices (2011)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1971On the uniqueness of solutions of stochastic differential equations848 cited
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  • 2010Correlation Risk and Optimal Portfolio Choice265 cited
  • 2008A multifactor volatility Heston model207 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 2010MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS128 cited
  • 2008Identification of Maximal Affine Term Structure Models120 cited
  • 2004QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES108 cited
  • 2007SOLVABLE AFFINE TERM STRUCTURE MODELS107 cited
  • 2005Wishart Quadratic Term Structure Models92 cited
  • 2017Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?

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  • 2009Affine Processes on Positive Semidefinite Matrices29 cited
  • 2020Nonlinear price impact and portfolio choice28 cited