Schmidt, Thorsten; Tappe, Stefan; Yu, Weijun Infinite dimensional affine processes. (English) Zbl 07312452 Stochastic Processes Appl. 130, No. 12, 7131-7169 (2020). MSC: 60J25 60H10 PDF BibTeX XML Cite \textit{T. Schmidt} et al., Stochastic Processes Appl. 130, No. 12, 7131--7169 (2020; Zbl 07312452) Full Text: DOI
Moutsinga, Claude Rodrigue Bambe; Pindza, Edson; Maré, Eben A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. (English) Zbl 07261584 Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020). Reviewer: Bülent Karasözen (Ankara) MSC: 65M70 65M22 65M12 44A15 35R09 45K05 91G20 91G60 60G55 PDF BibTeX XML Cite \textit{C. R. B. Moutsinga} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105159, 16 p. (2020; Zbl 07261584) Full Text: DOI
Filipović, Damir; Larsson, Martin Polynomial jump-diffusion models. (English) Zbl 1450.60038 Stoch. Syst. 10, No. 1, 71-97 (2020). MSC: 60J25 60J60 91G20 60H30 PDF BibTeX XML Cite \textit{D. Filipović} and \textit{M. Larsson}, Stoch. Syst. 10, No. 1, 71--97 (2020; Zbl 1450.60038) Full Text: DOI
Friesen, Martin; Jin, Peng On the anisotropic stable JCIR process. (English) Zbl 07243679 ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 2, 643-674 (2020). MSC: 60H10 60J25 60J35 37A25 PDF BibTeX XML Cite \textit{M. Friesen} and \textit{P. Jin}, ALEA, Lat. Am. J. Probab. Math. Stat. 17, No. 2, 643--674 (2020; Zbl 07243679) Full Text: Link
Friesen, Martin; Jin, Peng; Rüdiger, Barbara Existence of densities for multi-type continuous-state branching processes with immigration. (English) Zbl 07242832 Stochastic Processes Appl. 130, No. 9, 5426-5452 (2020). MSC: 60E07 60G30 60J80 PDF BibTeX XML Cite \textit{M. Friesen} et al., Stochastic Processes Appl. 130, No. 9, 5426--5452 (2020; Zbl 07242832) Full Text: DOI
Jin, Peng; Kremer, Jonas; Rüdiger, Barbara Existence of limiting distribution for affine processes. (English) Zbl 1451.60084 J. Math. Anal. Appl. 486, No. 2, Article ID 123912, 30 p. (2020). MSC: 60J25 60F05 60J80 PDF BibTeX XML Cite \textit{P. Jin} et al., J. Math. Anal. Appl. 486, No. 2, Article ID 123912, 30 p. (2020; Zbl 1451.60084) Full Text: DOI
Song, Jiao; Wu, Jiang-Lun; Huang, Fangzhou First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise. (English) Zbl 07215246 Commun. Pure Appl. Anal. 19, No. 8, 4127-4142 (2020). MSC: 65C99 68U20 60E07 60G17 PDF BibTeX XML Cite \textit{J. Song} et al., Commun. Pure Appl. Anal. 19, No. 8, 4127--4142 (2020; Zbl 07215246) Full Text: DOI
Agoitia Hurtado, María Fernanda del Carmen; Schmidt, Thorsten Time-inhomogeneous polynomial processes. (English) Zbl 1443.60071 Stochastic Anal. Appl. 38, No. 3, 527-564 (2020). MSC: 60J25 91B70 PDF BibTeX XML Cite \textit{M. F. d. C. Agoitia Hurtado} and \textit{T. Schmidt}, Stochastic Anal. Appl. 38, No. 3, 527--564 (2020; Zbl 1443.60071) Full Text: DOI
Mayerhofer, Eberhard; Stelzer, Robert; Vestweber, Johanna Geometric ergodicity of affine processes on cones. (English) Zbl 1434.60195 Stochastic Processes Appl. 130, No. 7, 4141-4173 (2020). MSC: 60J25 60G10 60G51 60J60 60J76 PDF BibTeX XML Cite \textit{E. Mayerhofer} et al., Stochastic Processes Appl. 130, No. 7, 4141--4173 (2020; Zbl 1434.60195) Full Text: DOI
Bardet, Jean-Marc; Kamila, Kare; Kengne, William Consistent model selection criteria and goodness-of-fit test for common time series models. (English) Zbl 1434.62180 Electron. J. Stat. 14, No. 1, 2009-2052 (2020). MSC: 62M10 62M07 PDF BibTeX XML Cite \textit{J.-M. Bardet} et al., Electron. J. Stat. 14, No. 1, 2009--2052 (2020; Zbl 1434.62180) Full Text: DOI Euclid
Brignone, Riccardo; Sgarra, Carlo Asian options pricing in Hawkes-type jump-diffusion models. (English) Zbl 1433.91170 Ann. Finance 16, No. 1, 101-119 (2020). MSC: 91G20 60G55 60J76 PDF BibTeX XML Cite \textit{R. Brignone} and \textit{C. Sgarra}, Ann. Finance 16, No. 1, 101--119 (2020; Zbl 1433.91170) Full Text: DOI
Hong, Liu; Qian, Hong; Thompson, Lowell F. Representations and divergences in the space of probability measures and stochastic thermodynamics. (English) Zbl 1439.60006 J. Comput. Appl. Math. 376, Article ID 112842, 15 p. (2020). MSC: 60B05 60K35 80A05 PDF BibTeX XML Cite \textit{L. Hong} et al., J. Comput. Appl. Math. 376, Article ID 112842, 15 p. (2020; Zbl 1439.60006) Full Text: DOI
van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik Regime switching affine processes with applications to finance. (English) Zbl 1435.91192 Finance Stoch. 24, No. 2, 309-333 (2020). MSC: 91G20 60J20 PDF BibTeX XML Cite \textit{M. van Beek} et al., Finance Stoch. 24, No. 2, 309--333 (2020; Zbl 1435.91192) Full Text: DOI
Gonon, Lukas; Teichmann, Josef Linearized filtering of affine processes using stochastic Riccati equations. (English) Zbl 1441.60032 Stochastic Processes Appl. 130, No. 1, 394-430 (2020). MSC: 60G35 62M20 PDF BibTeX XML Cite \textit{L. Gonon} and \textit{J. Teichmann}, Stochastic Processes Appl. 130, No. 1, 394--430 (2020; Zbl 1441.60032) Full Text: DOI arXiv
Gapeev, Pavel V.; Stoev, Yavor I. On some functionals of the first passage times in jump models of stochastic volatility. (English) Zbl 1427.60170 Stochastic Anal. Appl. 38, No. 1, 149-170 (2020). MSC: 60J65 60G40 60E10 34B05 60J60 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stochastic Anal. Appl. 38, No. 1, 149--170 (2020; Zbl 1427.60170) Full Text: DOI
Ning, Jie; Sobel, Matthew J. Easy affine Markov decision processes. (English) Zbl 07266032 Oper. Res. 67, No. 6, 1719-1737 (2019). MSC: 90C40 PDF BibTeX XML Cite \textit{J. Ning} and \textit{M. J. Sobel}, Oper. Res. 67, No. 6, 1719--1737 (2019; Zbl 07266032) Full Text: DOI
Jaber, Eduardo Abi Lifting the Heston model. (English) Zbl 1441.91093 Quant. Finance 19, No. 12, 1995-2013 (2019). MSC: 91G99 91B70 PDF BibTeX XML Cite \textit{E. A. Jaber}, Quant. Finance 19, No. 12, 1995--2013 (2019; Zbl 1441.91093) Full Text: DOI
He, Jiawen; Wei, Zhu’e Valuation on outer performance option in a non-affine stochastic volatility jump-diffusion model. (Chinese. English summary) Zbl 1449.91152 Math. Pract. Theory 49, No. 20, 132-139 (2019). MSC: 91G20 60J70 60J74 PDF BibTeX XML Cite \textit{J. He} and \textit{Z. Wei}, Math. Pract. Theory 49, No. 20, 132--139 (2019; Zbl 1449.91152)
Konakov, V.; Menozzi, S.; Molchanov, S. The Brownian motion on \(\operatorname{Aff}(\mathbb{R})\) and quasi-local theorems. (English) Zbl 1447.60132 Canzani, Yaiza (ed.) et al., Probabilistic methods in geometry, topology and spectral theory. CRM workshops on probabilistic methods in spectral geometry and PDE, August 22–26, 2016, and on probabilistic methods in topology, November 14–18, 2016, Centre de Recherches Mathématiques, Université de Montréal, Montréal, Quebec, Canada. Providence, RI: American Mathematical Society (AMS); Montreal: Centre de Recherches Mathématiques (CRM). Contemp. Math. 739, 97-124 (2019). MSC: 60J65 60B15 60J60 22E30 PDF BibTeX XML Cite \textit{V. Konakov} et al., Contemp. Math. 739, 97--124 (2019; Zbl 1447.60132) Full Text: DOI
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert Affine processes beyond stochastic continuity. (English) Zbl 1432.60073 Ann. Appl. Probab. 29, No. 6, 3387-3437 (2019). MSC: 60J25 91G20 PDF BibTeX XML Cite \textit{M. Keller-Ressel} et al., Ann. Appl. Probab. 29, No. 6, 3387--3437 (2019; Zbl 1432.60073) Full Text: DOI Euclid
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten Affine processes under parameter uncertainty. (English) Zbl 1443.91309 Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019). MSC: 91G30 60G44 35Q91 PDF BibTeX XML Cite \textit{T. Fadina} et al., Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019; Zbl 1443.91309) Full Text: DOI
Cuchiero, Christa; Teichmann, Josef Markovian lifts of positive semidefinite affine Volterra-type processes. (English) Zbl 1432.91110 Decis. Econ. Finance 42, No. 2, 407-448 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G15 60H15 60J60 60G55 PDF BibTeX XML Cite \textit{C. Cuchiero} and \textit{J. Teichmann}, Decis. Econ. Finance 42, No. 2, 407--448 (2019; Zbl 1432.91110) Full Text: DOI
Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio Affine Volterra processes. (English) Zbl 1441.60052 Ann. Appl. Probab. 29, No. 5, 3155-3200 (2019). MSC: 60H20 45D05 60G22 91G20 PDF BibTeX XML Cite \textit{E. A. Jaber} et al., Ann. Appl. Probab. 29, No. 5, 3155--3200 (2019; Zbl 1441.60052) Full Text: DOI arXiv
Xue, Guangming; Deng, Guohe Pricing forward-start options in a stochastic interest rate and volatility model with jump risks. (Chinese. English summary) Zbl 07112830 J. Math., Wuhan Univ. 39, No. 3, 414-430 (2019). MSC: 91G20 91G30 91G60 60J74 PDF BibTeX XML Cite \textit{G. Xue} and \textit{G. Deng}, J. Math., Wuhan Univ. 39, No. 3, 414--430 (2019; Zbl 07112830) Full Text: DOI
Abi Jaber, Eduardo; El Euch, Omar Markovian structure of the Volterra Heston model. (English) Zbl 07101581 Stat. Probab. Lett. 149, 63-72 (2019). MSC: 60H20 45D05 91G99 PDF BibTeX XML Cite \textit{E. Abi Jaber} and \textit{O. El Euch}, Stat. Probab. Lett. 149, 63--72 (2019; Zbl 07101581) Full Text: DOI
Jaber, Eduardo Abi; El Euch, Omar Multifactor approximation of rough volatility models. (English) Zbl 1422.91765 SIAM J. Financ. Math. 10, No. 2, 309-349 (2019). MSC: 91G60 65L05 91G20 91B70 26A33 PDF BibTeX XML Cite \textit{E. A. Jaber} and \textit{O. El Euch}, SIAM J. Financ. Math. 10, No. 2, 309--349 (2019; Zbl 1422.91765) Full Text: DOI
Jaber, Eduardo Abi; Bouchard, Bruno; Illand, Camille Stochastic invariance of closed sets with non-Lipschitz coefficients. (English) Zbl 07074438 Stochastic Processes Appl. 129, No. 5, 1726-1748 (2019). MSC: 60H10 60J25 93E03 60J60 PDF BibTeX XML Cite \textit{E. A. Jaber} et al., Stochastic Processes Appl. 129, No. 5, 1726--1748 (2019; Zbl 07074438) Full Text: DOI
Gatheral, Jim; Keller-Ressel, Martin Affine forward variance models. (English) Zbl 1430.91110 Finance Stoch. 23, No. 3, 501-533 (2019). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G20 60G22 60G55 PDF BibTeX XML Cite \textit{J. Gatheral} and \textit{M. Keller-Ressel}, Finance Stoch. 23, No. 3, 501--533 (2019; Zbl 1430.91110) Full Text: DOI arXiv
Harms, Philipp; Stefanovits, David Affine representations of fractional processes with applications in mathematical finance. (English) Zbl 07062613 Stochastic Processes Appl. 129, No. 4, 1185-1228 (2019). MSC: 60G22 60G15 60J25 91G30 PDF BibTeX XML Cite \textit{P. Harms} and \textit{D. Stefanovits}, Stochastic Processes Appl. 129, No. 4, 1185--1228 (2019; Zbl 07062613) Full Text: DOI arXiv
Bolyog, Beáta; Pap, Gyula On conditional least squares estimation for affine diffusions based on continuous time observations. (English) Zbl 1428.60113 Stat. Inference Stoch. Process. 22, No. 1, 41-75 (2019). MSC: 60J60 62F12 PDF BibTeX XML Cite \textit{B. Bolyog} and \textit{G. Pap}, Stat. Inference Stoch. Process. 22, No. 1, 41--75 (2019; Zbl 1428.60113) Full Text: DOI
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro Affine multiple yield curve models. (English) Zbl 1411.91589 Math. Finance 29, No. 2, 568-611 (2019). MSC: 91G30 91G20 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Math. Finance 29, No. 2, 568--611 (2019; Zbl 1411.91589) Full Text: DOI arXiv
Katori, Makoto Macdonald denominators for affine root systems, orthogonal theta functions, and elliptic determinantal point processes. (English) Zbl 1428.60066 J. Math. Phys. 60, No. 1, 013301, 27 p. (2019). Reviewer: Chrysoula G. Kokologiannaki (Patras) MSC: 60G55 14K25 33D67 60B20 60J65 PDF BibTeX XML Cite \textit{M. Katori}, J. Math. Phys. 60, No. 1, 013301, 27 p. (2019; Zbl 1428.60066) Full Text: DOI
Yao, Nian; Xiao, Mingqing Asymptotic analysis for affine point processes with large initial intensity. (English) Zbl 1405.60033 Anal. Appl., Singap. 17, No. 1, 117-143 (2019). MSC: 60F05 60F10 PDF BibTeX XML Cite \textit{N. Yao} and \textit{M. Xiao}, Anal. Appl., Singap. 17, No. 1, 117--143 (2019; Zbl 1405.60033) Full Text: DOI
Damek, E.; Zienkiewicz, J. Affine stochastic equation with triangular matrices. (English) Zbl 1427.60058 J. Difference Equ. Appl. 24, No. 4, 520-542 (2018). MSC: 60G10 15A24 60B20 60J05 62M10 PDF BibTeX XML Cite \textit{E. Damek} and \textit{J. Zienkiewicz}, J. Difference Equ. Appl. 24, No. 4, 520--542 (2018; Zbl 1427.60058) Full Text: DOI
Takeyama, Yoshihiro On the eigenfunctions for the multi-species \(q\)-boson system. (English) Zbl 1446.17042 Funkc. Ekvacioj, Ser. Int. 61, No. 3, 349-376 (2018). MSC: 17B80 81R12 60K35 33C52 PDF BibTeX XML Cite \textit{Y. Takeyama}, Funkc. Ekvacioj, Ser. Int. 61, No. 3, 349--376 (2018; Zbl 1446.17042) Full Text: DOI arXiv
Defourny, Boris Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control. (English) Zbl 07064420 Oper. Res. Lett. 46, No. 1, 51-55 (2018). MSC: 90 PDF BibTeX XML Cite \textit{B. Defourny}, Oper. Res. Lett. 46, No. 1, 51--55 (2018; Zbl 07064420) Full Text: DOI
Chiu, C.-Y.; Kercheval, A. Modelling credit risk in the jump threshold framework. (English) Zbl 1411.91594 Appl. Math. Finance 25, No. 5-6, 411-433 (2018). MSC: 91G40 60G51 PDF BibTeX XML Cite \textit{C. Y. Chiu} and \textit{A. Kercheval}, Appl. Math. Finance 25, No. 5--6, 411--433 (2018; Zbl 1411.91594) Full Text: DOI
Aaronson, Jon; Bromberg, Michael; Chandgotia, Nishant Rational ergodicity of step function skew products. (English) Zbl 1407.37060 J. Mod. Dyn. 13, 1-42 (2018). MSC: 37E10 37A40 11K38 60F05 37A50 37A25 PDF BibTeX XML Cite \textit{J. Aaronson} et al., J. Mod. Dyn. 13, 1--42 (2018; Zbl 1407.37060) Full Text: DOI arXiv
Bemporad, Alberto; Breschi, Valentina; Piga, Dario; Boyd, Stephen P. Fitting jump models. (English) Zbl 1406.93315 Automatica 96, 11-21 (2018). MSC: 93E10 93E03 60J75 62P30 93-04 PDF BibTeX XML Cite \textit{A. Bemporad} et al., Automatica 96, 11--21 (2018; Zbl 1406.93315) Full Text: DOI
Chan, Tat Lung (Ron) Singular Fourier-Padé series expansion of European option prices. (English) Zbl 1400.91583 Quant. Finance 18, No. 7, 1149-1171 (2018). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{T. L. Chan}, Quant. Finance 18, No. 7, 1149--1171 (2018; Zbl 1400.91583) Full Text: DOI
Barletta, Andrea; Nicolato, Elisa Orthogonal expansions for VIX options under affine jump diffusions. (English) Zbl 1400.91577 Quant. Finance 18, No. 6, 951-967 (2018). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{A. Barletta} and \textit{E. Nicolato}, Quant. Finance 18, No. 6, 951--967 (2018; Zbl 1400.91577) Full Text: DOI
Troscheit, Sascha The box-counting dimension of random box-like self-affine sets. (English) Zbl 1447.28012 Indiana Univ. Math. J. 67, No. 2, 495-535 (2018). Reviewer: Athanase Papadopoulos (Strasbourg) MSC: 28A80 37C45 60J80 PDF BibTeX XML Cite \textit{S. Troscheit}, Indiana Univ. Math. J. 67, No. 2, 495--535 (2018; Zbl 1447.28012) Full Text: DOI
Alili, Larbi; Matsumoto, Hiroyuki Further studies on square-root boundaries for Bessel processes. (English) Zbl 1397.60079 Electron. Commun. Probab. 23, Paper No. 39, 9 p. (2018). MSC: 60G40 60J65 60G18 60J60 PDF BibTeX XML Cite \textit{L. Alili} and \textit{H. Matsumoto}, Electron. Commun. Probab. 23, Paper No. 39, 9 p. (2018; Zbl 1397.60079) Full Text: DOI Euclid arXiv
Cuny, Christophe; Dedecker, Jérôme; Merlevède, Florence An alternative to the coupling of Berkes-Liu-Wu for strong approximations. (English) Zbl 1392.60031 Chaos Solitons Fractals 106, 233-242 (2018). MSC: 60F17 60G10 60J05 PDF BibTeX XML Cite \textit{C. Cuny} et al., Chaos Solitons Fractals 106, 233--242 (2018; Zbl 1392.60031) Full Text: DOI
Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian Long-term yield in an affine HJM framework on \(S_{d}^{+}\). (English) Zbl 1416.91383 Appl. Math. Optim. 77, No. 3, 405-441 (2018). MSC: 91G30 60G51 60H10 PDF BibTeX XML Cite \textit{F. Biagini} et al., Appl. Math. Optim. 77, No. 3, 405--441 (2018; Zbl 1416.91383) Full Text: DOI
Krühner, Paul; Larsson, Martin Affine processes with compact state space. (English) Zbl 1390.60277 Electron. J. Probab. 23, Paper No. 29, 23 p. (2018). MSC: 60J25 60J27 60J75 PDF BibTeX XML Cite \textit{P. Krühner} and \textit{M. Larsson}, Electron. J. Probab. 23, Paper No. 29, 23 p. (2018; Zbl 1390.60277) Full Text: DOI Euclid arXiv
Zerner, Martin P. W. Recurrence and transience of contractive autoregressive processes and related Markov chains. (English) Zbl 1390.60263 Electron. J. Probab. 23, Paper No. 27, 24 p. (2018). MSC: 60J05 60J80 37H10 PDF BibTeX XML Cite \textit{M. P. W. Zerner}, Electron. J. Probab. 23, Paper No. 27, 24 p. (2018; Zbl 1390.60263) Full Text: DOI Euclid arXiv
Gehmlich, Frank; Schmidt, Thorsten Dynamic defaultable term structure modeling beyond the intensity paradigm. (English) Zbl 1403.91361 Math. Finance 28, No. 1, 211-239 (2018). MSC: 91G40 60G44 62M20 62P05 PDF BibTeX XML Cite \textit{F. Gehmlich} and \textit{T. Schmidt}, Math. Finance 28, No. 1, 211--239 (2018; Zbl 1403.91361) Full Text: DOI
Graczyk, Piotr; Małecki, Jacek; Mayerhofer, Eberhard A characterization of Wishart processes and Wishart distributions. (English) Zbl 1391.60138 Stochastic Processes Appl. 128, No. 4, 1386-1404 (2018). MSC: 60H10 60E05 60B20 62E10 PDF BibTeX XML Cite \textit{P. Graczyk} et al., Stochastic Processes Appl. 128, No. 4, 1386--1404 (2018; Zbl 1391.60138) Full Text: DOI arXiv
Barczy, Mátyás; Alaya, Ben Mohamed; Kebaier, Ahmed; Pap, Gyula Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. (English) Zbl 1390.60307 Stochastic Processes Appl. 128, No. 4, 1135-1164 (2018). MSC: 60J75 60H10 60F05 62F12 PDF BibTeX XML Cite \textit{M. Barczy} et al., Stochastic Processes Appl. 128, No. 4, 1135--1164 (2018; Zbl 1390.60307) Full Text: DOI
Keller-Ressel, Martin Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. (English) Zbl 1396.91782 Finance Stoch. 22, No. 2, 503-510 (2018). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G30 60J25 PDF BibTeX XML Cite \textit{M. Keller-Ressel}, Finance Stoch. 22, No. 2, 503--510 (2018; Zbl 1396.91782) Full Text: DOI
Angel, Omer; Balka, Richárd; Máthé, András; Peres, Yuval Restrictions of Hölder continuous functions. (English) Zbl 1414.26008 Trans. Am. Math. Soc. 370, No. 6, 4223-4247 (2018). MSC: 26A16 26A45 28A78 60G22 60J65 PDF BibTeX XML Cite \textit{O. Angel} et al., Trans. Am. Math. Soc. 370, No. 6, 4223--4247 (2018; Zbl 1414.26008) Full Text: DOI
Kwok, Yue Kuen; Zheng, Wendong Saddlepoint approximation methods in financial engineering. (English) Zbl 1414.62005 SpringerBriefs in Quantitative Finance. Cham: Springer (ISBN 978-3-319-74100-0/pbk; 978-3-319-74101-7/ebook). x, 128 p. (2018). Reviewer: Claudio Fontana (Paris) MSC: 62-02 62P05 91G20 91G40 62M02 62H05 PDF BibTeX XML Cite \textit{Y. K. Kwok} and \textit{W. Zheng}, Saddlepoint approximation methods in financial engineering. Cham: Springer (2018; Zbl 1414.62005) Full Text: DOI
Kotrys, Dawid; Nikodem, Kazimierz Separation by Jensen and affine stochastic processes. (English) Zbl 1384.26035 Aequationes Math. 92, No. 1, 111-122 (2018). Reviewer: Sorin-Mihai Grad (Chemnitz) MSC: 26A51 39B62 60G99 PDF BibTeX XML Cite \textit{D. Kotrys} and \textit{K. Nikodem}, Aequationes Math. 92, No. 1, 111--122 (2018; Zbl 1384.26035) Full Text: DOI
Jin, Peng; Kremer, Jonas; Rüdiger, Barbara Exponential ergodicity of an affine two-factor model based on the \({\alpha}\)-root process. (English) Zbl 1425.60065 Adv. Appl. Probab. 49, No. 4, 1144-1169 (2017). MSC: 60J25 37A25 60J35 60J75 PDF BibTeX XML Cite \textit{P. Jin} et al., Adv. Appl. Probab. 49, No. 4, 1144--1169 (2017; Zbl 1425.60065) Full Text: DOI
Hubalek, Friedrich; Keller-Ressel, Martin; Sgarra, Carlo Geometric Asian option pricing in general affine stochastic volatility models with jumps. (English) Zbl 1402.91791 Quant. Finance 17, No. 6, 873-888 (2017). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{F. Hubalek} et al., Quant. Finance 17, No. 6, 873--888 (2017; Zbl 1402.91791) Full Text: DOI
Deng, Guohe Valuation on American put option in an affine diffusion model with double jumps. (Chinese. English summary) Zbl 1399.91108 J. Syst. Sci. Math. Sci. 37, No. 7, 1646-1663 (2017). MSC: 91G20 60J75 60G40 PDF BibTeX XML Cite \textit{G. Deng}, J. Syst. Sci. Math. Sci. 37, No. 7, 1646--1663 (2017; Zbl 1399.91108)
Waldenberger, Stefan The affine inflation market models. (English) Zbl 1398.91619 Appl. Math. Finance 24, No. 3-4, 281-301 (2017). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{S. Waldenberger}, Appl. Math. Finance 24, No. 3--4, 281--301 (2017; Zbl 1398.91619) Full Text: DOI
Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian Magic points in finance: empirical integration for parametric option pricing. (English) Zbl 1429.91320 SIAM J. Financ. Math. 8, 766-803 (2017). MSC: 91G20 91G60 42A38 PDF BibTeX XML Cite \textit{M. Gaß} et al., SIAM J. Financ. Math. 8, 766--803 (2017; Zbl 1429.91320) Full Text: DOI Link
Grama, Ion A survey on conditioned limit theorems for products of random matrices and affine random walks. (English) Zbl 1382.60058 Panov, Vladimir (ed.), Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov’s 70th birthday, Moscow, Russia, May 29 – June 2, 2016. Cham: Springer (ISBN 978-3-319-65312-9/hbk; 978-3-319-65313-6/ebook). Springer Proceedings in Mathematics & Statistics 208, 93-102 (2017). MSC: 60F17 60J05 60J45 PDF BibTeX XML Cite \textit{I. Grama}, in: Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov's 70th birthday, Moscow, Russia, May 29 -- June 2, 2016. Cham: Springer. 93--102 (2017; Zbl 1382.60058) Full Text: DOI
Zhou, You; Wang, Pengfei; Zha, Fusheng; Guo, Wei; Li, Mantian Affine transformation-based life signal filtering algorithm for two-order differential equation. (Chinese. English summary) Zbl 1389.92026 J. Harbin Eng. Univ. 38, No. 5, 752-758 (2017). MSC: 92C55 60G35 94A12 62M20 PDF BibTeX XML Cite \textit{Y. Zhou} et al., J. Harbin Eng. Univ. 38, No. 5, 752--758 (2017; Zbl 1389.92026) Full Text: DOI
Katori, Makoto Elliptic determinantal processes and elliptic Dyson models. (English) Zbl 1395.60101 SIGMA, Symmetry Integrability Geom. Methods Appl. 13, Paper 079, 36 p. (2017). MSC: 60J65 60G44 82C22 60B20 33E05 17B22 PDF BibTeX XML Cite \textit{M. Katori}, SIGMA, Symmetry Integrability Geom. Methods Appl. 13, Paper 079, 36 p. (2017; Zbl 1395.60101) Full Text: DOI arXiv
Gapeev, Pavel V.; Stoev, Yavor I. On the construction of non-affine jump-diffusion models. (English) Zbl 1373.60143 Stochastic Anal. Appl. 35, No. 5, 900-918 (2017). MSC: 60J75 60H10 91G30 60J60 60G51 60G44 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stochastic Anal. Appl. 35, No. 5, 900--918 (2017; Zbl 1373.60143) Full Text: DOI
Alsmeyer, Gerold; Buckmann, Fabian Stability of perpetuities in Markovian environment. (English) Zbl 1371.60174 J. Difference Equ. Appl. 23, No. 4, 699-740 (2017). MSC: 60K37 60J10 60K05 60K15 60F15 60F05 60H25 PDF BibTeX XML Cite \textit{G. Alsmeyer} and \textit{F. Buckmann}, J. Difference Equ. Appl. 23, No. 4, 699--740 (2017; Zbl 1371.60174) Full Text: DOI
Sumner, Jeremy G. Dimensional reduction for the general Markov model on phylogenetic trees. (English) Zbl 1373.92092 Bull. Math. Biol. 79, No. 3, 619-634 (2017). MSC: 92D15 60J20 PDF BibTeX XML Cite \textit{J. G. Sumner}, Bull. Math. Biol. 79, No. 3, 619--634 (2017; Zbl 1373.92092) Full Text: DOI arXiv
Jiao, Ying; Ma, Chunhua; Scotti, Simone Alpha-CIR model with branching processes in sovereign interest rate modeling. (English) Zbl 1378.91123 Finance Stoch. 21, No. 3, 789-813 (2017). Reviewer: Claudio Fontana (Paris) MSC: 91G30 60J80 60G51 60G55 PDF BibTeX XML Cite \textit{Y. Jiao} et al., Finance Stoch. 21, No. 3, 789--813 (2017; Zbl 1378.91123) Full Text: DOI
Liu, Zhengwei; Wu, Jinsong Uncertainty principles for Kac algebras. (English) Zbl 1364.81021 J. Math. Phys. 58, No. 5, 052102, 12 p. (2017). MSC: 81P05 81S05 60J10 94A17 43A25 17B67 18A32 PDF BibTeX XML Cite \textit{Z. Liu} and \textit{J. Wu}, J. Math. Phys. 58, No. 5, 052102, 12 p. (2017; Zbl 1364.81021) Full Text: DOI arXiv
Gnoatto, Alessandro Coherent foreign exchange market models. (English) Zbl 1396.91732 Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750007, 29 p. (2017). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{A. Gnoatto}, Int. J. Theor. Appl. Finance 20, No. 1, Article ID 1750007, 29 p. (2017; Zbl 1396.91732) Full Text: DOI
Nicolato, E.; Pisani, C.; Sloth, D. The impact of jump distributions on the implied volatility of variance. (English) Zbl 1356.91089 SIAM J. Financ. Math. 8, 28-53 (2017). MSC: 91G20 91B70 60G51 62P05 PDF BibTeX XML Cite \textit{E. Nicolato} et al., SIAM J. Financ. Math. 8, 28--53 (2017; Zbl 1356.91089) Full Text: DOI
Huang, Yongdong; Yang, Jianwei; Li, Sansan; Du, Wenzhen Polar radius integral transform for affine invariant feature extraction. (English) Zbl 1357.94022 Int. J. Wavelets Multiresolut. Inf. Process. 15, No. 1, Article ID 1750005, 20 p. (2017). MSC: 94A08 60K99 44A99 60G15 65C20 68U10 PDF BibTeX XML Cite \textit{Y. Huang} et al., Int. J. Wavelets Multiresolut. Inf. Process. 15, No. 1, Article ID 1750005, 20 p. (2017; Zbl 1357.94022) Full Text: DOI
Gapeev, Pavel V.; Stoev, Yavor I. On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. (English) Zbl 1354.60089 Stat. Probab. Lett. 121, 152-162 (2017). MSC: 60J75 60J60 60H10 60J65 60G55 60G40 60G51 60E10 34B05 PDF BibTeX XML Cite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stat. Probab. Lett. 121, 152--162 (2017; Zbl 1354.60089) Full Text: DOI
Zhi, Yong-Feng; Shang, Fang-Fang; Zhang, Jun; Wang, Zhen Optimal step-size of pseudo affine projection algorithm. (English) Zbl 1410.62170 Appl. Math. Comput. 273, 82-88 (2016). MSC: 62M20 62H12 65C60 PDF BibTeX XML Cite \textit{Y.-F. Zhi} et al., Appl. Math. Comput. 273, 82--88 (2016; Zbl 1410.62170) Full Text: DOI
Li, Lingfei; Mendoza-Arriaga, Rafael; Mitchell, Daniel Analytical representations for the basic affine jump diffusion. (English) Zbl 1408.60077 Oper. Res. Lett. 44, No. 1, 121-128 (2016). MSC: 60J75 91G80 PDF BibTeX XML Cite \textit{L. Li} et al., Oper. Res. Lett. 44, No. 1, 121--128 (2016; Zbl 1408.60077) Full Text: DOI
Bayer, Christian; Schoenmakers, John Option pricing in affine generalized Merton models. (English) Zbl 1367.91173 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 219-239 (2016). MSC: 91G20 60J75 91G60 PDF BibTeX XML Cite \textit{C. Bayer} and \textit{J. Schoenmakers}, in: Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22--25, 2015. Cham: Springer. 219--239 (2016; Zbl 1367.91173) Full Text: DOI
Wang, Jiaqin; Deng, Guohe Pricing of interest rate derivatives based on affine jump diffusion model. (Chinese. English summary) Zbl 1374.91125 J. Guangxi Norm. Univ., Nat. Sci. 34, No. 3, 74-85 (2016). MSC: 91G20 91G30 60J75 PDF BibTeX XML Cite \textit{J. Wang} and \textit{G. Deng}, J. Guangxi Norm. Univ., Nat. Sci. 34, No. 3, 74--85 (2016; Zbl 1374.91125) Full Text: DOI
Defosseux, Manon Fusion coefficients and random walks in alcoves. (English. French summary) Zbl 1402.17030 Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 4, 1515-1534 (2016). MSC: 17B67 17B10 17B20 22E30 60J10 PDF BibTeX XML Cite \textit{M. Defosseux}, Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 4, 1515--1534 (2016; Zbl 1402.17030) Full Text: DOI
Teng, Long; Ehrhardt, Matthias; Günther, Michael On the Heston model with stochastic correlation. (English) Zbl 1396.91580 Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650033, 25 p. (2016). MSC: 91B70 60J60 91G20 PDF BibTeX XML Cite \textit{L. Teng} et al., Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650033, 25 p. (2016; Zbl 1396.91580) Full Text: DOI
Schwarzenberger, Michael A. Affine processes and pseudo-differential operators with unbounded coefficients. (English) Zbl 1345.60006 Berichte aus der Mathematik. Aachen: Shaker Verlag; Dresden: TU Dresden (Diss.) (ISBN 978-3-8440-4708-0/pbk). vi, 123 p. (2016). MSC: 60-02 60J25 60H30 35S05 PDF BibTeX XML Cite \textit{M. A. Schwarzenberger}, Affine processes and pseudo-differential operators with unbounded coefficients. Aachen: Shaker Verlag; Dresden: TU Dresden (Diss.) (2016; Zbl 1345.60006) Full Text: Link
Cuchiero, Christa; Keller-Ressel, Martin; Mayerhofer, Eberhard; Teichmann, Josef Affine processes on symmetric cones. (English) Zbl 1342.60125 J. Theor. Probab. 29, No. 2, 359-422 (2016). MSC: 60J25 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., J. Theor. Probab. 29, No. 2, 359--422 (2016; Zbl 1342.60125) Full Text: DOI arXiv
Guivarc’h, Y.; Le Page, É. Spectral gap properties for linear random walks and Pareto’s asymptotics for affine stochastic recursions. (English. French summary) Zbl 1357.60010 Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 2, 503-574 (2016). Reviewer: N. G. Gamkrelidze (Moskva) MSC: 60B15 60B20 60G50 60J50 37A50 PDF BibTeX XML Cite \textit{Y. Guivarc'h} and \textit{É. Le Page}, Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 2, 503--574 (2016; Zbl 1357.60010) Full Text: DOI Euclid
Müller, Wolfgang; Waldenberger, Stefan Affine LIBOR models driven by real-valued affine processes. (English) Zbl 1414.91395 Stoch. Models 32, No. 2, 333-350 (2016). MSC: 91G30 PDF BibTeX XML Cite \textit{W. Müller} and \textit{S. Waldenberger}, Stoch. Models 32, No. 2, 333--350 (2016; Zbl 1414.91395) Full Text: DOI
Pillonetto, Gianluigi A new kernel-based approach to hybrid system identification. (English) Zbl 1339.93113 Automatica 70, 21-31 (2016). MSC: 93E12 60J10 90C15 PDF BibTeX XML Cite \textit{G. Pillonetto}, Automatica 70, 21--31 (2016; Zbl 1339.93113) Full Text: DOI
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro A general HJM framework for multiple yield curve modelling. (English) Zbl 1376.91166 Finance Stoch. 20, No. 2, 267-320 (2016). Reviewer: Stefan Tappe (Hannover) MSC: 91G30 60J25 60H30 91B24 91G20 PDF BibTeX XML Cite \textit{C. Cuchiero} et al., Finance Stoch. 20, No. 2, 267--320 (2016; Zbl 1376.91166) Full Text: DOI arXiv
Asai, Y.; Kloeden, P. E. Numerical schemes for random ODEs with affine noise. (English) Zbl 1357.65009 Numer. Algorithms 72, No. 1, 155-171 (2016). Reviewer: Melvin D. Lax (Long Beach) MSC: 65C30 34F05 60H10 60H25 PDF BibTeX XML Cite \textit{Y. Asai} and \textit{P. E. Kloeden}, Numer. Algorithms 72, No. 1, 155--171 (2016; Zbl 1357.65009) Full Text: DOI
Li, Xue-Mei Random perturbation to the geodesic equation. (English) Zbl 1372.60083 Ann. Probab. 44, No. 1, 544-566 (2016). Reviewer: Oliver Janke (Berlin) MSC: 60H10 34F05 58J65 37H10 53B05 PDF BibTeX XML Cite \textit{X.-M. Li}, Ann. Probab. 44, No. 1, 544--566 (2016; Zbl 1372.60083) Full Text: DOI Euclid arXiv
Tappe, Stefan Affine realizations with affine state processes for stochastic partial differential equations. (English) Zbl 1336.60126 Stochastic Processes Appl. 126, No. 7, 2062-2091 (2016). MSC: 60H15 91G80 PDF BibTeX XML Cite \textit{S. Tappe}, Stochastic Processes Appl. 126, No. 7, 2062--2091 (2016; Zbl 1336.60126) Full Text: DOI arXiv
Jin, Peng; Rüdiger, Barbara; Trabelsi, Chiraz Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion. (English) Zbl 1335.60146 Stochastic Anal. Appl. 34, No. 1, 75-95 (2016). MSC: 60J60 60J75 60H10 PDF BibTeX XML Cite \textit{P. Jin} et al., Stochastic Anal. Appl. 34, No. 1, 75--95 (2016; Zbl 1335.60146) Full Text: DOI arXiv
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene Risk-minimization for life insurance liabilities with basis risk. (English) Zbl 1404.91136 Math. Financ. Econ. 10, No. 2, 151-178 (2016). MSC: 91B30 62P05 62P20 60G44 PDF BibTeX XML Cite \textit{F. Biagini} et al., Math. Financ. Econ. 10, No. 2, 151--178 (2016; Zbl 1404.91136) Full Text: DOI
Lecouvey, Cédric; Lesigne, Emmanuel; Peigné, Marc Conditioned random walks from Kac-Moody root systems. (English) Zbl 1331.05228 Trans. Am. Math. Soc. 368, No. 5, 3177-3210 (2016). MSC: 05E10 05E05 17B10 17B67 60G50 60J10 60J22 PDF BibTeX XML Cite \textit{C. Lecouvey} et al., Trans. Am. Math. Soc. 368, No. 5, 3177--3210 (2016; Zbl 1331.05228) Full Text: DOI
Gulisashvili, Archil; Teichmann, Josef The Gärtner-Ellis theorem, homogenization, and affine processes. (English) Zbl 1418.91616 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 287-320 (2015). MSC: 91G80 60F10 91B70 35K08 60G99 PDF BibTeX XML Cite \textit{A. Gulisashvili} and \textit{J. Teichmann}, Springer Proc. Math. Stat. 110, 287--320 (2015; Zbl 1418.91616) Full Text: DOI arXiv
Ballotta, Laura; Kyriakou, Ioannis Convertible bond valuation in a jump diffusion setting with stochastic interest rates. (English) Zbl 1398.91562 Quant. Finance 15, No. 1, 115-129 (2015). MSC: 91G20 91G60 91G30 60J75 PDF BibTeX XML Cite \textit{L. Ballotta} and \textit{I. Kyriakou}, Quant. Finance 15, No. 1, 115--129 (2015; Zbl 1398.91562) Full Text: DOI
Baldeaux, Jan; Platen, Eckhard Credit derivative evaluation and CVA under the benchmark approach. (English) Zbl 1368.91178 Asia-Pac. Financ. Mark. 22, No. 3, 305-331 (2015). MSC: 91G40 PDF BibTeX XML Cite \textit{J. Baldeaux} and \textit{E. Platen}, Asia-Pac. Financ. Mark. 22, No. 3, 305--331 (2015; Zbl 1368.91178) Full Text: DOI
Guivarc’h, Y.; Le Page, E. On the homogeneity at infinity of the stationary probability for an affine random walk. (English) Zbl 1336.60089 Bhattacharya, Siddhartha (ed.) et al., Recent trends in ergodic theory and dynamical systems. International conference in honor of S. G. Dani’s 65th birthday, Vadodara, India, December 26–29, 2012. Proceedings. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-0931-9/pbk; 978-1-4704-2219-6/ebook). Contemporary Mathematics 631, 119-130 (2015). MSC: 60G50 60G70 PDF BibTeX XML Cite \textit{Y. Guivarc'h} and \textit{E. Le Page}, Contemp. Math. 631, 119--130 (2015; Zbl 1336.60089) Full Text: DOI
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. Affine point processes: approximation and efficient simulation. (English) Zbl 1331.60084 Math. Oper. Res. 40, No. 4, 797-819 (2015). MSC: 60G55 60F05 60F10 60J60 60J75 60H10 60H35 65C30 PDF BibTeX XML Cite \textit{X. Zhang} et al., Math. Oper. Res. 40, No. 4, 797--819 (2015; Zbl 1331.60084) Full Text: DOI
Platen, Eckhard; Tappe, Stefan Real-world forward rate dynamics with affine realizations. (English) Zbl 1335.91094 Stochastic Anal. Appl. 33, No. 4, 573-608 (2015). MSC: 91G30 60G51 60H15 PDF BibTeX XML Cite \textit{E. Platen} and \textit{S. Tappe}, Stochastic Anal. Appl. 33, No. 4, 573--608 (2015; Zbl 1335.91094) Full Text: DOI arXiv
Benth, Fred Espen; Ortiz-Latorre, Salvador A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. (English) Zbl 1343.60091 Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550038, 40 p. (2015). Reviewer: Nikolaos Halidias (Athens) MSC: 60H30 60H10 60J60 60J65 91G80 91G20 91B70 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{S. Ortiz-Latorre}, Int. J. Theor. Appl. Finance 18, No. 6, Article ID 1550038, 40 p. (2015; Zbl 1343.60091) Full Text: DOI
Escobar, Marcos; Neykova, Daniela; Zagst, Rudi Portfolio optimization in affine models with Markov switching. (English) Zbl 1337.91077 Int. J. Theor. Appl. Finance 18, No. 5, Article ID 1550030, 46 p. (2015). MSC: 91G10 60J28 60H30 93E20 PDF BibTeX XML Cite \textit{M. Escobar} et al., Int. J. Theor. Appl. Finance 18, No. 5, Article ID 1550030, 46 p. (2015; Zbl 1337.91077) Full Text: DOI arXiv
Katori, Makoto Elliptic determinantal process of type A. (English) Zbl 1416.60081 Probab. Theory Relat. Fields 162, No. 3-4, 637-677 (2015). MSC: 60J65 60J60 60G44 82C22 60B20 33E05 PDF BibTeX XML Cite \textit{M. Katori}, Probab. Theory Relat. Fields 162, No. 3--4, 637--677 (2015; Zbl 1416.60081) Full Text: DOI arXiv
Keller-Ressel, Martin Simple examples of pure-jump strict local martingales. (English) Zbl 1336.60085 Stochastic Processes Appl. 125, No. 11, 4142-4153 (2015). MSC: 60G48 60G44 PDF BibTeX XML Cite \textit{M. Keller-Ressel}, Stochastic Processes Appl. 125, No. 11, 4142--4153 (2015; Zbl 1336.60085) Full Text: DOI arXiv
De Genaro, Alan; Simonis, Adilson Estimating doubly stochastic Poisson process with affine intensities by Kalman filter. (English) Zbl 1329.62393 Stat. Pap. 56, No. 3, 723-748 (2015). MSC: 62M99 62M20 62P05 PDF BibTeX XML Cite \textit{A. De Genaro} and \textit{A. Simonis}, Stat. Pap. 56, No. 3, 723--748 (2015; Zbl 1329.62393) Full Text: DOI