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Polynomial diffusions and applications in finance

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References

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2018A General Framework for Time-Changed Markov Processes and Applications53 cited
2020Polynomial Jump-Diffusion Models32 cited
2018Polynomial processes in stochastic portfolio theory31 cited
2023Signature-Based Models: Theory and Calibration30 cited
2018Asian Option Pricing with Orthogonal Polynomials28 cited

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2020A consistent stochastic model of the term structure of interest rates for multiple tenors24 cited

2024Joint calibration to SPX and VIX options with signature‐based models21 cited

2019Linear credit risk models20 cited