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Noncausal Affine Processes with Applications to Derivative Pricing

Gourieroux, Christian - 2019

Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time....

Persistent link: https://www.econbiz.de/10012894201

Noncausal affine processes with applications to derivative pricing

Gouriéroux, Christian; Lu, Yang - 2019

Persistent link: https://www.econbiz.de/10012237262

Noncausal affine processes with applications to derivative pricing

Gouriéroux, Christian; Lu, Yang - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 766-796

Persistent link: https://www.econbiz.de/10014329912

Solution method and parameter estimation of uncertain partial differential equation with application to China's population

Yang, Lu; Liu, Yang - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 1, pp. 155-177

Persistent link: https://www.econbiz.de/10014500867

Taking into account extreme events in European option pricing

Idier, Julien; Jardet, Caroline; LeFol, Gaëlle; … - In: Financial stability review : FSR 12 (2008), pp. 39-51

Persistent link: https://www.econbiz.de/10003772089

Econometric specification of stochastic discount factor models

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 136 (2007) 2, pp. 509-530

Persistent link: https://www.econbiz.de/10003412662

Pricing with splines

Gouriéroux, Christian; Monfort, Alain - In: Annales d'économie et de statistique 82 (2006), pp. 3-33

Persistent link: https://www.econbiz.de/10003510977

Joint econometric modeling of spot electricity prices, forwards and options

Monfort, Alain; Féron, Olivier - In: Review of derivatives research 15 (2012) 3, pp. 217-256

Persistent link: https://www.econbiz.de/10009709687

Pricing with finite dimensional dependence

Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417

Persistent link: https://www.econbiz.de/10011499694

Pricing with splines

Gouriéroux, Christian; Monfort, Alain - 2002

Persistent link: https://www.econbiz.de/10001742493