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ArticlePolynomial diffusions and applications in finance

Damir Filipović2016

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Articlebronze2016

Polynomial diffusions and applications in finance

Damir Filipović · Martin Larsson

91 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Economic theories and models

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References

1999Continuous Martingales and Brownian Motion 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2009A comparison of biased simulation schemes for stochastic volatility models 2003A survey and some generalizations of Bessel processes 2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes 2012Polynomial processes and their applications to mathematical finance 2016Density Approximations for Multivariate Affine Jump-Diffusion Processes

Cited by

2018A General Framework for Time-Changed Markov Processes and Applications 2020Polynomial Jump-Diffusion Models 2018Polynomial processes in stochastic portfolio theory 2023Signature-Based Models: Theory and Calibration 2018Asian Option Pricing with Orthogonal Polynomials 2020A consistent stochastic model of the term structure of interest rates for multiple tenors

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Details

Year2016

Typearticle

Published2016-06-14

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations91

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-016-0304-4

openalex_workW2951836744

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