Stochastic volatility for factor Heath-Jarrow-Morton framework
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Cites work
- A note on the Nelson-Siegel family
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Complications with stochastic volatility models
- Correlations and bounds for stochastic volatility models
- Discount models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Exponential-polynomial families and the term structure of interest rates
- Financial Derivatives in Theory and Practice
- Forecasting the term structure of government bond yields
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Log-normal stochastic volatility model with quadratic drift
- Mathematical methods for foreign exchange. A financial engineer's approach
- Moment explosions and stationary distributions in affine diffusion models
- Moment explosions in stochastic volatility models
- On the hedging of options on exploding exchange rates
- On the martingale property in stochastic volatility models based on time-homogeneous diffusions
- The affine arbitrage-free class of Nelson-Siegel term structure models
- The martingale property in the context of stochastic differential equations
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