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Exponentially affine martingales, affine measure changes and exponential moments of affine processes

Citations

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Cited by:

  1. Xi Kleisinger-Yu & Vlatka Komaric & Martin Larsson & Markus Regez, 2019. "A multi-factor polynomial framework for long-term electricity forwards with delivery period," Papers 1908.08954, arXiv.org, revised Jun 2020.
  2. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  3. Martin Friesen & Sven Karbach, 2024. "Stationary covariance regime for affine stochastic covariance models in Hilbert spaces," Finance and Stochastics, Springer, vol. 28(4), pages 1077-1116, October.
  4. Philippe Artzner & Karl‐Theodor Eisele & Thorsten Schmidt, 2024. "Insurance–finance arbitrage," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 739-773, July.
  5. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
  6. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
  7. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Working Papers hal-01275397, HAL.
  8. E. Nicolato & D. Sloth, 2014. "Risk adjustments of option prices under time-changed dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 125-141, January.
  9. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
  10. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR model with branching processes in sovereign interest rate modeling," Finance and Stochastics, Springer, vol. 21(3), pages 789-813, July.
  11. Keller-Ressel, Martin, 2015. "Simple examples of pure-jump strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4142-4153.
  12. Fred Espen Benth & Salvador Ortiz-Latorre, 2014. "A change of measure preserving the affine structure in the BNS model for commodity markets," Papers 1403.5236, arXiv.org.
  13. Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
  14. Yan-Feng Wu & Jian-Qiang Hu, 2025. "Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching," Papers 2504.06942, arXiv.org.
  15. Černý, Aleš & Ruf, Johannes, 2023. "Simplified calculus for semimartingales: Multiplicative compensators and changes of measure," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 572-602.
  16. Sonja Cox & Sven Karbach & Asma Khedher, 2022. "An infinite‐dimensional affine stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 878-906, July.
  17. Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
  18. David Criens & Kathrin Glau & Zorana Grbac, 2015. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models," Papers 1506.08127, arXiv.org, revised Aug 2016.
  19. Cox, Sonja & Karbach, Sven & Khedher, Asma, 2022. "Affine pure-jump processes on positive Hilbert–Schmidt operators," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 191-229.
  20. Ying Jiao & Chunhua Ma & Simone Scotti, 2017. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Post-Print hal-01275397, HAL.
  21. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  22. Martin Keller-Ressel, 2014. "Simple examples of pure-jump strict local martingales," Papers 1405.2669, arXiv.org, revised Jun 2015.
  23. Mayerhofer, Eberhard & Muhle-Karbe, Johannes & Smirnov, Alexander G., 2011. "A characterization of the martingale property of exponentially affine processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 568-582, March.
  24. Marcos Escobar & Daniela Neykova & Rudi Zagst, 2015. "Portfolio Optimization In Affine Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-46.
  25. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2020. "Dynamic asset allocation with relative wealth concerns in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  26. Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017. "Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation," Papers 1709.05527, arXiv.org.
  27. David Criens, 2018. "No Arbitrage in Continuous Financial Markets," Papers 1809.09588, arXiv.org, revised Feb 2020.
  28. Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Papers 1602.05541, arXiv.org, revised Feb 2016.
  29. David Criens & Kathrin Glau & Zorana Grbac, 2017. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models," Post-Print hal-03898993, HAL.
  30. Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
  31. Gonon, Lukas & Teichmann, Josef, 2020. "Linearized filtering of affine processes using stochastic Riccati equations," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 394-430.
  32. Ying Jiao & Chunhua Ma & Simone Scotti & Chao Zhou, 2018. "The Alpha-Heston Stochastic Volatility Model," Papers 1812.01914, arXiv.org.
  33. M. Escobar & D. Neykova & R. Zagst, 2017. "HARA utility maximization in a Markov-switching bond–stock market," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1715-1733, November.
  34. Ying Jiao & Chunhua Ma & Simone Scotti & Carlo Sgarra, 2019. "A branching process approach to power markets," Post-Print hal-02954986, HAL.
  35. Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.
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