The Term Structure of Simple Forward Rates with Jump Risk

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A Jump-Diffusion Model for Option Pricing
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Option pricing when underlying stock returns are discontinuous
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LIBOR and swap market models and measures
Post-'87 crash fears in the S\&P 500 futures option market
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The Market Model of Interest Rate Dynamics
Bond Market Structure in the Presence of Marked Point Processes
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Hedging contingent claims on semimartingales

Cited In (35)

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
Old and new approaches to LIBOR modeling
The term structure of interest rates in the economic and monetary union
Periodic point processes: theory and application
The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension
A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
THEORY AND CALIBRATION OF SWAP MARKET MODELS
First passage times of a jump diffusion process
Jump-adapted discretization schemes for Lévy-driven SDEs
The affine LIBOR models
Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
Fast swaption pricing under the market model with a square-root volatility process
A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
The Markov-switching jump diffusion LIBOR market model
The Lévy Swap Market Model
Numerical solution of jump-diffusion LIBOR market models
VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Consistency Problems for Jump‐diffusion Models
FFT network for interest rate derivatives with Lévy processes
A class of jump-diffusion bond pricing models within the HJM framework
Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps
VASIČEK BEYOND THE NORMAL
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
Multiple stochastic volatility extension of the Libor market model and its implementation
A simple regime switching term structure model
A jump-diffusion Libor model and its robust calibration
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
The valuation of contingent capital with catastrophe risks
Pricing cross-currency interest rate swaps under the Lévy market model
Markov models for commodity futures: theory and practice

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