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Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying; Ma, Chunhua; Scotti, Simone - In: Finance and stochastics 21 (2017) 3, pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
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Additive subordination and its applications in finance
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael - In: Finance and stochastics 20 (2016) 3, pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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A general characterization of one factor affine term structure models
Filipović, Damir - In: Finance and stochastics 5 (2001) 3, pp. 389-412
Persistent link: https://www.econbiz.de/10001599299
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Infinite-dimensional polynomial processes
Cuchiero, Christa; Svaluto-Ferro, Sara - In: Finance and stochastics 25 (2021) 2, pp. 383-426
Persistent link: https://www.econbiz.de/10012499741
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Forward transition rates
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens - In: Finance and stochastics 23 (2019) 4, pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo; Severino, Federico - In: Finance and stochastics 22 (2018) 4, pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
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Stochastic flows and the forward measure
Elliott, Robert J.; Hoek, John van der - In: Finance and stochastics 5 (2001) 4, pp. 511-525
Persistent link: https://www.econbiz.de/10001614608
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Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
Aase Nielsen, Jørgen; Sandmann, Klaus - In: Finance and stochastics 6 (2002) 3, pp. 355-370
Persistent link: https://www.econbiz.de/10001680678