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A note on the forward measure
Davis, Mark - In: Finance and stochastics 2 (1998) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001230162
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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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Random step functions model for interest rates
Borovkov, Konstantin; Klebaner, Fima C.; Virag, Eleanor - In: Finance and stochastics 7 (2003) 1, pp. 123-143
Persistent link: https://www.econbiz.de/10001724648
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Perturbed Brownian motion and its application to Parisian option pricing
Dassios, Angelos; Wu, Shanle - In: Finance and stochastics 14 (2010) 3, pp. 473-494
Persistent link: https://www.econbiz.de/10009533860
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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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Regime switching affine processes with applications to finance
Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
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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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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133
Persistent link: https://www.econbiz.de/10009423247