SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Polynomial jump-diffusions on the unit simplex
16 references·0 citing·40 second hop
Polynomial jump-diffusions on the unit simplex (2018)Polynomial jump-diffusions on the unit si…Polynomial processes in stochastic portfolio theory (2018)Polynomial processes in stoch…Polynomial diffusions and applications in finance (2016)Polynomial diffusions and app…Linear‐Rational Term Structure Models (2016)Linear‐Rational Term Structur…Quadratic Variance Swap Models (2013)Quadratic Variance Swap ModelsThe Term Structure of Interbank Risk (2012)The Term Structure of Interba…Polynomial processes and their applications to mathematical finance (2012)Polynomial processes and thei…Mathematical Methods for Financial Markets (2010)Mathematical Methods for Fina…Stochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: …Mathematical Methods for Financial Markets (2009)Mathematical Methods for Fina…Relative arbitrage in volatility-stabilized markets (2005)Relative arbitrage in volatil…Multivariate Jacobi process with application to smooth transitions (2005)Multivariate Jacobi process w…Interaction of credit and liquidity risks: Modelling and valuation (2005)Interaction of credit and liq…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryAn Interest Rate Model with Upper and Lower Bounds (2002)An Interest Rate Model with U…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Atlas models of equity markets (2005)Brownian Motion and Stochastic Calculus (2007)Deep Learning for Portfolio Optimization (2020)PORTFOLIO SELECTION* (1952)Hybrid Atlas models (2011)Market viability via absence of arbitrage of the first kind (2012)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Arbitrage Theory in Continuous Time (2004)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Methods of Mathematical Finance (1998)A Benchmark Approach to Quantitative Finance (2006)The numéraire portfolio in semimartingale financial models (2007)A Mathematical Theory of Financial Bubbles (2013)Limit Theorems for Stochastic Processes (1987)Option valuation using the fast Fourier transform (1999)Post-'87 crash fears in the S&P 500 futures option market (2000)Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit (2013)Density Approximations for Multivariate Affine Jump-Diffusion Processes (2016)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Continuous Martingales and Brownian Motion (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Staying at zero with affine processes: An application to term structure modelling (2017)A General Framework for Time-Changed Markov Processes and Applications (2018)Chebyshev interpolation for parametric option pricing (2018)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? 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)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)A jump to default extended CEV model: an application of Bessel processes (2006)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
this work references cited by second hop

References

  • 2003Limit Theorems for Stochastic Processes2,652 cited
  • 2009Mathematical Methods for Financial Markets638 cited
  • 2010Mathematical Methods for Financial Markets506 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2012The Term Structure of Interbank Risk193 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2009Stochastic Portfolio Theory: an Overview169 cited
  • 2012Polynomial processes and their applications to mathematical finance131 cited
  • 2005Relative arbitrage in volatility-stabilized markets113 cited
  • 2016Linear‐Rational Term Structure Models108 cited
  • 2013Quadratic Variance Swap Models105 cited
  • 2016Polynomial diffusions and applications in finance91 cited
  • 2002An Interest Rate Model with Upper and Lower Bounds77 cited
  • 2005Multivariate Jacobi process with application to smooth transitions73 cited
  • 2018Polynomial processes in stochastic portfolio theory31 cited
  • 2005Interaction of credit and liquidity risks: Modelling and valuation22 cited

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

Cited by

No citing works inside the corpus for this window.