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Alpha-CIR model with branching processes in sovereign interest rate modeling
16 references·4 citing·44 second hop
Alpha-CIR model with branching processes in sovereign interest rate modeling (2017)Alpha-CIR model with branching processes …Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Limit theorems for nearly unstable Hawkes processes (2015)Limit theorems for nearly uns…A dynamic contagion process (2011)A dynamic contagion processAffine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Term-Structure Models (2009)Term-Structure ModelsEstimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…Affine processes and applications in finance (2003)Affine processes and applicat…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess …Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…A general characterization of one factor affine term structure models (2001)A general characterization of…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994)THE TERM STRUCTURE OF INTERES…A Test of the Cox, Ingersoll, and Ross Model of the Term Structure (1993)A Test of the Cox, Ingersoll,…The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates (1986)The Empirical Implications of…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Alpha‐Heston stochastic volatility model (2021)The Alpha‐Heston stochastic v…A self‐exciting modeling framework for forward prices in power markets (2021)A self‐exciting modeling fram…A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process (2019)A Gamma Ornstein-Uhlenbeck Mo…A branching process approach to power markets (2018)A branching process approach …The Pricing of Options and Corporate Liabilities (1973)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)Testing for jumps in a discretely observed process (2009)Volatility Jumps (2010)Jumps and Information Flow in Financial Markets (2011)Fact or friction: Jumps at ultra high frequency (2014)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)The information in forward rates (1988)Explorations Into Factors Explaining Money Market Returns (1994)Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Option pricing when underlying stock returns are discontinuous (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Contagion in Mass Killings and School Shootings (2015)Processes of normal inverse Gaussian type (1997)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Continuous Martingales and Brownian Motion (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Stochastic Integration and Differential Equations (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Credit Default Swaps: A Survey (2014)Exploring the sources of default clustering (2018)Affine processes on positive semidefinite matrices (2011)The Term Structure of Interbank Risk (2012)Numerical Solution of Stochastic Differential Equations (2016)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
  • 2009Term-Structure Models300 cited
  • 1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates291 cited
  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 2011A dynamic contagion process169 cited
  • 1993A Test of the Cox, Ingersoll, and Ross Model of the Term Structure157 cited
  • 2001Modelling by Lévy Processess for Financial Econometrics152 cited
  • 1994THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD139 cited
  • 2001A general characterization of one factor affine term structure models129 cited

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2015
Limit theorems for nearly unstable Hawkes processes
127 cited

Cited by

  • 2018A branching process approach to power markets48 cited
  • 2021The Alpha‐Heston stochastic volatility model35 cited
  • 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process32 cited
  • 2021A self‐exciting modeling framework for forward prices in power markets31 cited