Time-inhomogeneous affine processes
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- Affine processes and applications in finance
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Cited in
(52)- Non-linear affine processes with jumps
- Infinite dimensional affine processes
- Affine realizations with affine state processes for stochastic partial differential equations
- Time-inhomogeneous polynomial processes
- On the multi-dimensional portfolio optimization with stochastic volatility
- Affine processes for dynamic mortality and actuarial valuations
- On the American swaption in the linear-rational framework
- Affine stochastic mortality
- Bond pricing formulas for Markov-modulated affine term structure models
- Affine processes on positive semidefinite matrices
- A generalized intensity-based framework for single-name credit risk
- Quadratic hedging in affine stochastic volatility models
- A tractable LIBOR model with default risk
- The affine LIBOR models
- The fair value of guaranteed annuity options
- Cointegration in continuous time for factor models
- Pricing of long dated equity-linked life insurance contracts
- Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes
- VIX pricing in the rBergomi model under a regime switching change of measure
- Affine processes are regular
- Utility maximization in affine stochastic volatility models
- Affine Volterra processes
- Inhomogeneous affine Volterra processes
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- Affine LIBOR models driven by real-valued affine processes
- Asymptotic power utility-based pricing and hedging
- Affine processes beyond stochastic continuity
- Affine LIBOR models with multiple curves: theory, examples and calibration
- Time-inhomogeneous polynomial processes in electricity spot price models
- Volterra mortality model: actuarial valuation and risk management with long-range dependence
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- Dynamic defaultable term structure modeling beyond the intensity paradigm
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- A growth-fragmentation model related to Ornstein-Uhlenbeck type processes
- A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process
- Linearized filtering of affine processes using stochastic Riccati equations
- Geometric ergodicity of affine processes on cones
- A didactic note on affine stochastic volatility models
- Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
- On a Heath-Jarrow-Morton approach for stock options
- Schumpeterian competition in a Lucas economy
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- Discrete time term structure theory and consistent recalibration models
- MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
- Markov-modulated affine processes
- Pricing measures, forward measures and semigroups
- The affine inflation market models
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- Real-world jump-diffusion term structure models
- Variance optimal hedging for continuous time additive processes and applications
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