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Affine Diffusions and Related Processes: Simulation, Theory and Applications

Citations

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Cited by:

  1. Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017. "Semi-Static and Sparse Variance-Optimal Hedging," Papers 1709.05519, arXiv.org.
  2. Matyas Barczy & Balazs Nyul & Gyula Pap, 2015. "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers 1511.05948, arXiv.org, revised Aug 2018.
  3. Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
  4. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi stochastic volatility factor for the LIBOR market model," Finance and Stochastics, Springer, vol. 26(4), pages 771-823, October.
  5. Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2021. "Quantization goes polynomial," Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 361-376, March.
  6. Hervé Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Working Papers hal-02875623, HAL.
  7. Mohamed Ben Alaya & Ahmed Kebaier & Ngoc Khue Tran, 2020. "Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1401-1464, December.
  8. Beáta Bolyog & Gyula Pap, 2019. "On conditional least squares estimation for affine diffusions based on continuous time observations," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 41-75, April.
  9. Anis Al Gerbi & Benjamin Jourdain & Emmanuelle Cl'ement, 2015. "Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators," Papers 1508.06492, arXiv.org, revised Oct 2015.
  10. Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
  11. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2015. "Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model," Papers 1509.08869, arXiv.org, revised May 2018.
  12. Bercu, Bernard & Richou, Adrien, 2017. "Large deviations for the Ornstein–Uhlenbeck process without tears," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 45-55.
  13. Shukai Chen, 2023. "On the Exponential Ergodicity of (2+2)-Affine Processes in Total Variation Distances," Journal of Theoretical Probability, Springer, vol. 36(1), pages 315-330, March.
  14. Kaustav Das & Nicolas Langren'e, 2018. "Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Oct 2021.
  15. Al Gerbi Anis & Jourdain Benjamin & Clément Emmanuelle, 2016. "Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators," Monte Carlo Methods and Applications, De Gruyter, vol. 22(3), pages 197-228, September.
  16. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
  17. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
  18. Aur'elien Alfonsi, 2023. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Papers 2302.07758, arXiv.org.
  19. David R. Ba~nos & Salvador Ortiz-Latorre & Oriol Zamora Font, 2023. "Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model," Papers 2309.03541, arXiv.org, revised Feb 2024.
  20. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
  21. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
  22. Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022. "Kyle's Model with Stochastic Liquidity," Papers 2204.11069, arXiv.org.
  23. Damien Lamberton & Giulia Terenzi, 2019. "Properties of the American price function in the Heston-type models," Working Papers hal-02088487, HAL.
  24. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
  25. Gadat, Sébastien & Costa, Manon & Huang, Lorick, 2022. "CV@R penalized portfolio optimization with biased stochastic mirror descent," TSE Working Papers 22-1342, Toulouse School of Economics (TSE), revised Nov 2023.
  26. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
  27. Sutthimat, Phiraphat & Mekchay, Khamron & Rujivan, Sanae, 2022. "Closed-form formula for conditional moments of generalized nonlinear drift CEV process," Applied Mathematics and Computation, Elsevier, vol. 428(C).
  28. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
  29. Micha{l} Barski & Rafa{l} {L}ochowski, 2024. "Affine term structure models driven by independent L\'evy processes," Papers 2402.07503, arXiv.org.
  30. Aur'elien Alfonsi & Edoardo Lombardo, 2022. "High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids," Papers 2209.13334, arXiv.org, revised Apr 2023.
  31. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
  32. Vigirdas Mackevičius & Gabrielė Mongirdaitė, 2022. "Weak Approximations of the Wright–Fisher Process," Mathematics, MDPI, vol. 10(1), pages 1-20, January.
  33. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jun 2020.
  34. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
  35. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
  36. 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.
  37. David R. Ba~nos & Salvador Ortiz-Latorre & Oriol Zamora Font, 2022. "Change of measure in a Heston-Hawkes stochastic volatility model," Papers 2210.15343, arXiv.org.
  38. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Post-Print hal-02367200, HAL.
  39. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.
  40. Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers 2006.13521, arXiv.org.
  41. Micha{l} Barski & Rafa{l} {L}ochowski, 2023. "Classification and calibration of affine models driven by independent L\'evy processes," Papers 2303.08477, arXiv.org.
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