Polynomial processes and their applications to mathematical finance

From MaRDI portal
Publication:693032

DOI10.1007/s00780-012-0188-xzbMath1270.60079arXiv0812.4740OpenAlexW2063724955MaRDI QIDQ693032

Josef Teichmann, Christa Cuchiero, Martin Keller-Ressel

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4740



Related Items

Polynomial jump-diffusions on the unit simplex, Flows in near algebras with applications to harnesses, A general framework for time-changed Markov processes and applications, On Markov processes with polynomial conditional moments, Probability measure-valued polynomial diffusions, Cointegration in continuous time for factor models, Generalized moment estimation of stochastic differential equations, Infinitesimal generators for a class of polynomial processes, Spectral expansions of non-self-adjoint generalized Laguerre semigroups, Polynomial diffusions and applications in finance, Orthogonal expansions for VIX options under affine jump diffusions, Alternative to beta coefficients in the context of diffusions, The Jacobi stochastic volatility model, Chebyshev interpolation for parametric option pricing, Stationarity and Ergodicity for an Affine Two-Factor Model, Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes, Independent increment processes: a multilinearity preserving property, Pricing variance swaps under subordinated Jacobi stochastic volatility models, Geometric ergodicity of affine processes on cones, Jacobi stochastic volatility factor for the LIBOR market model, A general closed form option pricing formula, Matrix calculations for moments of Markov processes, Signature-Based Models: Theory and Calibration, Reduction and reconstruction of stochastic differential equations via symmetries, Risk‐neutral pricing techniques and examples, Fast calibration of the libor market model with stochastic volatility and displaced diffusion, Time-inhomogeneous polynomial processes, On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria, Infinitesimal generators of \(q\)-Meixner processes, Polynomial Jump-Diffusion Models, Density approximations for multivariate affine jump-diffusion processes, A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period, Infinite dimensional affine processes, Modeling the intraday electricity demand in Germany, A characterization of Wishart processes and Wishart distributions, Markov cubature rules for polynomial processes, Polynomial diffusions on compact quadric sets, Stochastic invariance of closed sets with non-Lipschitz coefficients, Polynomial processes in stochastic portfolio theory, Infinite-dimensional polynomial processes, Polynomial Processes for Power Prices, Quantization goes polynomial, Existence of limiting distribution for affine processes, Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data, POLYNOMIAL TERM STRUCTURE MODELS, Markov-modulated affine processes, Rational multi-curve models with counterparty-risk valuation adjustments, Economic scenario generators: a risk management tool for insurance, Correlators of Polynomial Processes, Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball, On Some Applications of a Symbolic Representation of Non Centered Lévy Processes, Unified signature cumulants and generalized Magnus expansions, Ranked masses in two-parameter Fleming–Viot diffusions



Cites Work