Analytical representations for the basic affine jump diffusion

DOI10.1016/J.ORL.2015.12.003zbMATH Open1408.60077OpenAlexW2203226164MaRDI QIDQ1785484FDOQ1785484

Authors: Lingfei Li, Rafael Mendoza-Arriaga, Daniel Mitchell 

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.12.003

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zbMATH Keywords

subordinationtransition densitybasic affine jump diffusion

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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• Density approximations for multivariate affine jump-diffusion processes
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Evaluating callable and putable bonds: an eigenfunction expansion approach
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
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• An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
• Hypergeometric series and continued fractions

Cited In (4)

• A PDE approach to jump-diffusions
• Affine diffusions and related processes: simulation, theory and applications
• Density approximations for multivariate affine jump-diffusion processes
• Variance swaps on defaultable assets and market implied time-changes

Uses Software

• Digital Library of Mathematical Functions

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