Term structure models driven by general Lévy processes
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Cited in
(only showing first 100 items - show all)- Exponential moments for HJM models with jumps
- On integrals with respect to Lévy processes.
- Stochastic calculus for assets with non-Gaussian price fluctuations
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- FFT network for interest rate derivatives with Lévy processes
- Forward rate models with linear volatilities
- On arbitrage and Markovian short rates in fractional bond markets
- Lévy term structure models: no-arbitrage and completeness
- A multiple-curve HJM model of interbank risk
- FFT-network for bivariate Lévy option pricing
- Lévy-Ito models in finance
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- A generalized hyperbolic model for a risky asset with dependence
- Lévy CARMA models for shocks in mortality
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Risk-neutral compatibility with option prices
- Weighted empirical processes in the nonparametric inference for Lévy processes
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Bilateral gamma distributions and processes in financial mathematics
- A model of the term structure of interest rates based on Lévy fields
- First exit times of SDEs driven by stable Lévy processes
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type
- Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance
- Fractional Lévy processes with an application to long memory moving average processes
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Fourier based methods for the management of complex life insurance products
- Generalized fractional Lévy processes with fractional Brownian motion limit
- Affine LIBOR models driven by real-valued affine processes
- Correlations in Lévy interest rate models
- Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
- Rational term structure models with geometric Lévy martingales
- A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- On the valuation of compositions in Lévy term structure models
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- A cross-currency Lévy market model
- Real-world forward rate dynamics with affine realizations
- A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
- Existence, uniqueness and regularity w.r.t. the initial condition of mild solutions of SPDEs driven by Poisson noise
- LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- The Defaultable Lévy Term Structure: Ratings and Restructuring
- A multiple-curve Lévy forward rate model in a two-price economy
- Lévy-Vasicek models and the long-bond return process
- A Simple Stochastic Rate Model for Rate Equity Hybrid Products
- Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
- A Lévy-driven asset price model with bankruptcy and liquidity risk
- Some recent developments in stochastic volatility modelling
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- The Markov Chain Market
- VASIČEK BEYOND THE NORMAL
- Pricing of spread options on a bivariate jump market and stability to model risk
- A Lévy HJM multiple-curve model with application to CVA computation
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies
- Modeling mortality and pricing life annuities with Lévy processes
- Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
- Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
- Markovian short rates in multidimensional term structure Lévy models
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Finite mixture approximation of CARMA(p,q) models
- Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes
- Lévy modeled GMWB: Pricing with wavelets
- Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
- On CIR Equations with General Factors
- Electricity futures price modeling with Lévy term structure models
- Large deviation principle for semilinear stochastic evolution equations with Poisson noise
- DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES
- The Lévy Swap Market Model
- General theory of geometric Lévy models for dynamic asset pricing
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
- Construction of Lévy drivers for financial models
- Optimal portfolio for an insider in a market driven by Lévy processes§
- A general framework for term structure models driven by Lévy processes
- SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
- Calibration of Lévy term structure models
- PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
- Hybrid Lévy models: design and computational aspects
- Risk‐neutral pricing techniques and examples
- Interest Rates Term Structure Models Driven by Hawkes Processes
- Multi-population mortality modeling with Lévy processes
- Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
- Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed
- On the valuation of life insurance policies for dependent coupled lives
- Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
- Pricing of futures with a CARMA(p,q) model driven by a time changed Brownian motion
- Risk-neutral generative networks
- Threshold estimation of Markov models with jumps and interest rate modeling
- Pricing and hedging Asian-style options on energy
- Long memory affine term structure models
- Existence of Lévy term structure models
- Mortality modelling with Lévy processes
- A model of discontinuous interest rate behavior, yield curves, and volatility
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