Large deviations for affine diffusion processes on R_+^m R^n
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Large deviations for affine diffusion processes on \(\mathbb R +^m \times\mathbb R^n\)
Large deviations for affine diffusion processes on \(\mathbb R +^m \times\mathbb R^n\)
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- A large deviations approach to optimal long term investment
- A theory of the term structure of interest rates
- Affine diffusion processes: theory and applications
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- Affine processes and applications in finance
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- Asymptotic arbitrage in the Heston model
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Fast Simulation of Multifactor Portfolio Credit Risk
- Importance sampling for portfolio credit risk
- Large deviations for Wishart processes
- Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
- Multidimensional diffusion processes.
- On the uniqueness of solutions of stochastic differential equations
- Optimal importance sampling with explicit formulas in continuous time
- Portfolio choice with endogenous utility: a large deviations approach.
- Regularity of affine processes on general state spaces
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
- Some Applications and Methods of Large Deviations in Finance and Insurance
- Term-structure models. A graduate course
- The large-maturity smile for the Heston model
- The small-time smile and term structure of implied volatility under the Heston model
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(6)- scientific article; zbMATH DE number 3975993 (Why is no real title available?)
- scientific article; zbMATH DE number 1275412 (Why is no real title available?)
- scientific article; zbMATH DE number 1004157 (Why is no real title available?)
- Asymptotic analysis for affine point processes with large initial intensity
- The Gärtner-Ellis theorem, homogenization, and affine processes
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
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