The Term Structure of Simple Forward Rates with Jump Risk
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- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 1006369 (Why is no real title available?)
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- A jump-diffusion model for option pricing
- Bond Market Structure in the Presence of Marked Point Processes
- Hedging contingent claims on semimartingales
- LIBOR and swap market models and measures
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- The Market Model of Interest Rate Dynamics
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(41)- A jump-diffusion model for the euro overnight rate
- The term structure of interest rates in the economic and monetary union
- A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
- Old and new approaches to LIBOR modeling
- Periodic point processes: theory and application
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
- Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- An arithmetic pure-jump multi-curve interest rate model
- 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
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- A tractable market model with jumps for pricing short-term interest rate derivatives
- 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
- Numerical solution of jump-diffusion LIBOR market models
- The Lévy Swap Market Model
- 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
- The LIBOR market model: a Markov-switching jump diffusion extension
- VASIČEK BEYOND THE NORMAL
- Multiple stochastic volatility extension of the Libor market model and its implementation
- Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
- A simple regime switching term structure model
- The valuation of contingent capital with catastrophe risks
- A jump-diffusion Libor model and its robust calibration
- SELF EXCITING THRESHOLD INTEREST RATES MODELS
- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
- Pricing cross-currency interest rate swaps under the Lévy market model
- Real-world jump-diffusion term structure models
- Markov models for commodity futures: theory and practice
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