Bond and option pricing for interest rate model with clustering effects
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Publication:4554475
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Cites work
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 1222804 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 802908 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A cluster process representation of a self-exciting process
- A general characterization of one factor affine term structure models
- A model for interest rates with clustering effects
- A theory of the term structure of interest rates
- Affine point processes and portfolio credit risk
- Affine processes and applications in finance
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- An equilibrium characterization of the term structure
- Bond Market Structure in the Presence of Marked Point Processes
- Equilibrium approach of asset pricing under Lévy process
- Equilibrium asset and option pricing under jump diffusion
- Exact solutions for bond and option prices with systematic jump risk
- How news affects the trading behaviour of different categories of investors in a financial market
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
- Mean-field inference of Hawkes point processes
- Point processes and queues. Martingale dynamics
- Pricing interest-rate-derivative securities
- Skew convolution semigroups and affine Markov processes
- Spectra of some self-exciting and mutually exciting point processes
- Term structure models driven by Wiener processes and Poisson measures: existence and positivity
- Term-structure models. A graduate course
- The surprise element: Jumps in interest rates.
- Towards a general theory of bond markets
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Cited in
(8)- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Interest Rates Term Structure Models Driven by Hawkes Processes
- A model for interest rates with clustering effects
- Pricing of interest rate derivatives based on affine jump diffusion model
- Mean-variance portfolio selection in contagious markets
- A BSDE approach for bond pricing under interest rate models with self-exciting jumps
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