Real-world jump-diffusion term structure models (Q5189712): Difference between revisions

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+Bond Market Structure in the Presence of Marked Point Processes
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+A class of jump-diffusion bond pricing models within the HJM framework
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+A General Benchmark Model for Stochastic Jump Sizes
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+A Theory of the Term Structure of Interest Rates
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+The surprise element: Jumps in interest rates.
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+Exact solutions for bond and option prices with systematic jump risk
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+A general characterization of one factor affine term structure models
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+Time-inhomogeneous affine processes
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+Optimal portfolios for logarithmic utility.
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+Martingales and arbitrage in multiperiod securities markets
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Pricing Interest-Rate-Derivative Securities
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+The numéraire portfolio in semimartingale financial models
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+The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
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+A two-factor model for low interest rate regimes
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+Arbitrage in continuous complete markets
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+A class of complete benchmark models with intensity-based jumps
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+MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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+Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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+An equilibrium characterization of the term structure
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