SOLVABLE AFFINE TERM STRUCTURE MODELS
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Cites work
- Affine processes and applications in finance
- Discrete time Wishart term structure models
- Interest rate volatility and the shape of the term structure
- Lie semigroups with triple decompositions
- Superposition formulas for pseudounitary matrix Riccati equations
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(45)- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Neutral and indifference pricing with stochastic correlation and volatility
- A forward-backward SDE approach to affine models
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- Linearization of a matrix Riccati equation associated to an optimal control problem
- A unified approach to pricing and risk management of equity and credit risk
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Option pricing when correlations are stochastic: an analytical framework
- Stochastic Jacobian and Riccati ODE in affine term structure models
- Pricing range notes within Wishart affine models
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- Consistency conditions for affine term structure models.
- Order estimates for the exact Lugannani-Rice expansion
- Riding on the smiles
- Affine diffusions with non-canonical state space
- The explicit Laplace transform for the Wishart process
- Affine processes on symmetric cones
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
- Hedging (co)variance risk with variance swaps
- Affine term structure as multi-soliton
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- A multifactor volatility Heston model
- The Wishart short rate model
- General closed-form basket option pricing bounds
- Small-time smile for the multifactor volatility Heston model
- VIX versus VXX: a joint analytical framework
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model
- Affine processes on positive semidefinite matrices
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
- Continuous Time Wishart Process for Stochastic Risk
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
- On strong solutions for positive definite jump diffusions
- Explosion time for some Laplace transforms of the Wishart process
- Maximum principles for boundary-degenerate second order linear elliptic differential operators
- Multivariate COGARCH(1, 1) processes
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model
- Optimal order execution under price impact: a hybrid model
- Infinite-dimensional Wishart processes
- Partial observability of implied volatility matrices: identification and covolatilities filtering
- Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Optimal execution under price impact in a heterogeneous characteristic timescale
- Long memory affine term structure models
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