Xu, Ran; Wang, Wenyuan; Garrido, Jose Optimal dividend strategy Under Parisian ruin with affine penalty. (English) Zbl 07565012 Methodol. Comput. Appl. Probab. 24, No. 3, 1385-1409 (2022). MSC: 93E20 60G51 91Gxx PDF BibTeX XML Cite \textit{R. Xu} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1385--1409 (2022; Zbl 07565012) Full Text: DOI OpenURL
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio On a convergent power series method to price defaultable bonds in a Vašíček-CIR model. (English) Zbl 1484.91466 Electron. Commun. Probab. 27, Paper No. 19, 12 p. (2022). MSC: 91G20 91G40 91G30 PDF BibTeX XML Cite \textit{F. Antonelli} et al., Electron. Commun. Probab. 27, Paper No. 19, 12 p. (2022; Zbl 1484.91466) Full Text: DOI OpenURL
Bhattacharya, Indrabati; Ghosal, Subhashis Bayesian inference on multivariate medians and quantiles. (English) Zbl 07484130 Stat. Sin. 32, No. 1, 517-538 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{I. Bhattacharya} and \textit{S. Ghosal}, Stat. Sin. 32, No. 1, 517--538 (2022; Zbl 07484130) Full Text: DOI arXiv OpenURL
Jiang, Feifan; Fan, Longzhen A model of short-term interest rate under interest rate corridor. (Chinese. English summary) Zbl 07403878 J. Fudan Univ., Nat. Sci. 60, No. 2, 133-144, 156 (2021). MSC: 91G30 PDF BibTeX XML Cite \textit{F. Jiang} and \textit{L. Fan}, J. Fudan Univ., Nat. Sci. 60, No. 2, 133--144, 156 (2021; Zbl 07403878) OpenURL
He, Jian; Khedher, Asma; Spreij, Peter A Kalman particle filter for online parameter estimation with applications to affine models. (English) Zbl 1471.62476 Stat. Inference Stoch. Process. 24, No. 2, 353-403 (2021). MSC: 62M20 62P05 65C35 93E11 PDF BibTeX XML Cite \textit{J. He} et al., Stat. Inference Stoch. Process. 24, No. 2, 353--403 (2021; Zbl 1471.62476) Full Text: DOI arXiv OpenURL
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume Multiple yield curve modelling with CBI processes. (English) Zbl 1471.91588 Math. Financ. Econ. 15, No. 3, 579-610 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G30 91G20 60G51 60J85 PDF BibTeX XML Cite \textit{C. Fontana} et al., Math. Financ. Econ. 15, No. 3, 579--610 (2021; Zbl 1471.91588) Full Text: DOI arXiv OpenURL
Juneja, Januj Amar How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? (English) Zbl 07360555 Comput. Manag. Sci. 18, No. 1, 73-97 (2021). MSC: 90Bxx PDF BibTeX XML Cite \textit{J. A. Juneja}, Comput. Manag. Sci. 18, No. 1, 73--97 (2021; Zbl 07360555) Full Text: DOI OpenURL
Arbel, Julyan; Corradin, Riccardo; Nipoti, Bernardo Dirichlet process mixtures under affine transformations of the data. (English) Zbl 07315568 Comput. Stat. 36, No. 1, 577-601 (2021). MSC: 65C60 PDF BibTeX XML Cite \textit{J. Arbel} et al., Comput. Stat. 36, No. 1, 577--601 (2021; Zbl 07315568) Full Text: DOI arXiv OpenURL
Gerla, Giangiacomo Point-free continuum. (English) Zbl 1461.03010 Shapiro, Stewart (ed.) et al., The history of continua. Philosophical and mathematical perspectives. Oxford: Oxford University Press. 427-475 (2021). MSC: 03B30 51A35 52A01 00A30 03-03 51-03 01A60 PDF BibTeX XML Cite \textit{G. Gerla}, in: The history of continua. Philosophical and mathematical perspectives. Oxford: Oxford University Press. 427--475 (2021; Zbl 1461.03010) Full Text: DOI OpenURL
Friesen, Martin; Jin, Peng; Kremer, Jonas; Rüdiger, Barbara Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices. (English) Zbl 1473.60109 Adv. Appl. Probab. 52, No. 3, 825-854 (2020). MSC: 60J25 37A25 60J80 60H10 PDF BibTeX XML Cite \textit{M. Friesen} et al., Adv. Appl. Probab. 52, No. 3, 825--854 (2020; Zbl 1473.60109) Full Text: DOI arXiv OpenURL
Friesen, Martin; Jin, Peng; Rüdiger, Barbara Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes. (English) Zbl 1464.37007 Ann. Appl. Probab. 30, No. 5, 2165-2195 (2020). Reviewer: Feng-Yu Wang (Swansea) MSC: 37A50 37H10 37A25 60H10 60J25 60J65 PDF BibTeX XML Cite \textit{M. Friesen} et al., Ann. Appl. Probab. 30, No. 5, 2165--2195 (2020; Zbl 1464.37007) Full Text: DOI arXiv Euclid OpenURL
Schmidt, Thorsten; Tappe, Stefan; Yu, Weijun Infinite dimensional affine processes. (English) Zbl 1454.60114 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 1454.60114) Full Text: DOI arXiv OpenURL
Zeddouk, Fadoua; Devolder, Pierre Mean reversion in stochastic mortality: why and how? (English) Zbl 1455.91231 Eur. Actuar. J. 10, No. 2, 499-525 (2020). MSC: 91G05 60J70 PDF BibTeX XML Cite \textit{F. Zeddouk} and \textit{P. Devolder}, Eur. Actuar. J. 10, No. 2, 499--525 (2020; Zbl 1455.91231) Full Text: DOI Link OpenURL
Moutsinga, Claude Rodrigue Bambe; Pindza, Edson; Maré, Eben A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models. (English) Zbl 1453.65361 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 1453.65361) Full Text: DOI OpenURL
Friesen, Martin; Jin, Peng On the anisotropic stable JCIR process. (English) Zbl 1459.60123 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 1459.60123) Full Text: arXiv Link OpenURL
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 arXiv OpenURL
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 arXiv OpenURL
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten Term structure modelling for multiple curves with stochastic discontinuities. (English) Zbl 1435.91195 Finance Stoch. 24, No. 2, 465-511 (2020). MSC: 91G30 60G44 60G57 91G15 PDF BibTeX XML Cite \textit{C. Fontana} et al., Finance Stoch. 24, No. 2, 465--511 (2020; Zbl 1435.91195) Full Text: DOI arXiv OpenURL
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 OpenURL
Morshed, Muhammad Sarowar; Noor-E-Alam, Muhammad Generalized affine scaling algorithms for linear programming problems. (English) Zbl 1458.90472 Comput. Oper. Res. 114, Article ID 104807, 17 p. (2020). MSC: 90C05 90-08 65K05 90C51 PDF BibTeX XML Cite \textit{M. S. Morshed} and \textit{M. Noor-E-Alam}, Comput. Oper. Res. 114, Article ID 104807, 17 p. (2020; Zbl 1458.90472) Full Text: DOI arXiv OpenURL
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 arXiv Euclid OpenURL
Pasricha, Puneet; Selvamuthu, Dharmaraja A Markov modulated dynamic contagion process with application to credit risk. (English) Zbl 1481.60172 J. Stat. Phys. 175, No. 2, 495-511 (2019). MSC: 60J76 60G55 91B05 91G40 PDF BibTeX XML Cite \textit{P. Pasricha} and \textit{D. Selvamuthu}, J. Stat. Phys. 175, No. 2, 495--511 (2019; Zbl 1481.60172) Full Text: DOI OpenURL
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 OpenURL
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 OpenURL
Blondin, Michael; Haase, Christoph; Mazowiecki, Filip Affine extensions of integer vector addition systems with states. (English) Zbl 07378558 Schewe, Sven (ed.) et al., 29th international conference on concurrency theory. CONCUR 2018, Beijing, China, September 4–7, 2018. Proceedings. Wadern: Schloss Dagstuhl – Leibniz Zentrum für Informatik. LIPIcs – Leibniz Int. Proc. Inform. 118, Article 14, 17 p. (2018). MSC: 68Q85 PDF BibTeX XML Cite \textit{M. Blondin} et al., LIPIcs -- Leibniz Int. Proc. Inform. 118, Article 14, 17 p. (2018; Zbl 07378558) Full Text: DOI OpenURL
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 OpenURL
Mostrous, Dimitris; Vasconcelos, Vasco Thudichum Affine sessions. (English) Zbl 1407.68338 Log. Methods Comput. Sci. 14, No. 4, Paper No. 14, 21 p. (2018). MSC: 68Q85 03B70 PDF BibTeX XML Cite \textit{D. Mostrous} and \textit{V. T. Vasconcelos}, Log. Methods Comput. Sci. 14, No. 4, Paper No. 14, 21 p. (2018; Zbl 1407.68338) Full Text: DOI arXiv OpenURL
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 OpenURL
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 arXiv Euclid OpenURL
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 arXiv Link OpenURL
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 OpenURL
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 OpenURL
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 arXiv OpenURL
Richter, Anja; Teichmann, Josef Discrete time term structure theory and consistent recalibration models. (English) Zbl 1407.91256 SIAM J. Financ. Math. 8, 504-531 (2017). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{A. Richter} and \textit{J. Teichmann}, SIAM J. Financ. Math. 8, 504--531 (2017; Zbl 1407.91256) Full Text: DOI arXiv OpenURL
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume Staying at zero with affine processes: an application to term structure modelling. (English) Zbl 1377.62199 J. Econom. 201, No. 2, 348-366 (2017). MSC: 62P05 91G30 62M10 PDF BibTeX XML Cite \textit{A. Monfort} et al., J. Econom. 201, No. 2, 348--366 (2017; Zbl 1377.62199) Full Text: DOI Link OpenURL
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 arXiv OpenURL
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. (English) Zbl 1371.91084 Insur. Math. Econ. 71, 205-219 (2016). MSC: 91B30 91G20 91G30 PDF BibTeX XML Cite \textit{G. Deelstra} et al., Insur. Math. Econ. 71, 205--219 (2016; Zbl 1371.91084) Full Text: DOI OpenURL
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 OpenURL
Kac, Victor G.; Wakimoto, Minoru Representations of affine superalgebras and mock theta functions. III. (English) Zbl 1373.17027 Izv. Math. 80, No. 4, 693-750 (2016) and Izv. Ross. Akad. Nauk, Ser. Mat. 80, No. 4, 65-122 (2016). Reviewer: Volodymyr Mazorchuk (Uppsala) MSC: 17B67 11F27 PDF BibTeX XML Cite \textit{V. G. Kac} and \textit{M. Wakimoto}, Izv. Math. 80, No. 4, 693--750 (2016; Zbl 1373.17027) Full Text: DOI arXiv OpenURL
Silva, Manuel Individuals, populations and fluid approximations: a Petri net based perspective. (English) Zbl 1415.93171 Nonlinear Anal., Hybrid Syst. 22, 72-97 (2016). MSC: 93C65 68Q85 93A10 PDF BibTeX XML Cite \textit{M. Silva}, Nonlinear Anal., Hybrid Syst. 22, 72--97 (2016; Zbl 1415.93171) Full Text: DOI OpenURL
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 OpenURL
Taskinen, Sara; Miettinen, Jari; Nordhausen, Klaus A more efficient second order blind identification method for separation of uncorrelated stationary time series. (English) Zbl 1419.62251 Stat. Probab. Lett. 116, 21-26 (2016). MSC: 62M10 62H12 62E20 PDF BibTeX XML Cite \textit{S. Taskinen} et al., Stat. Probab. Lett. 116, 21--26 (2016; Zbl 1419.62251) Full Text: DOI Link OpenURL
Feng, Runhuan; Volkmer, Hans W. An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. (English) Zbl 1404.91256 Math. Financ. Econ. 10, No. 2, 127-149 (2016). MSC: 91G20 91B30 60J70 PDF BibTeX XML Cite \textit{R. Feng} and \textit{H. W. Volkmer}, Math. Financ. Econ. 10, No. 2, 127--149 (2016; Zbl 1404.91256) Full Text: DOI arXiv OpenURL
Reshetikhin, Nicolai; Stokman, Jasper; Vlaar, Bart Boundary quantum Knizhnik-Zamolodchikov equations and fusion. (English) Zbl 1347.81053 Ann. Henri Poincaré 17, No. 1, 137-177 (2016). Reviewer: Ahmed Hegazi (Mansoura) MSC: 81R50 17B37 22E47 16T25 81R12 81Q40 41A17 39A12 PDF BibTeX XML Cite \textit{N. Reshetikhin} et al., Ann. Henri Poincaré 17, No. 1, 137--177 (2016; Zbl 1347.81053) Full Text: DOI arXiv OpenURL
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 OpenURL
Afonin, V. V.; Muryumin, S. M.; Muskatin’ev, A. V. Modeling of control of 3-rd order nonlinear object with optimal stabilization of its final states. (Russian. English summary) Zbl 1340.93070 Zh. Sredn. Mat. Obshch. 17, No. 2, 7-14 (2015). Reviewer: T. E. Badokina MSC: 93B52 93C15 34H05 93B05 93B18 93C10 PDF BibTeX XML Cite \textit{V. V. Afonin} et al., Zh. Sredn. Mat. Obshch. 17, No. 2, 7--14 (2015; Zbl 1340.93070) OpenURL
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 OpenURL
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 OpenURL
Alfonsi, Aurélien Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002 Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015). Reviewer: Heinrich Hering (Rockenberg) MSC: 60-02 91-02 60J20 60J70 60H30 91G70 62P05 65C30 91B25 91B70 91G60 PDF BibTeX XML Cite \textit{A. Alfonsi}, Affine diffusions and related processes: simulation, theory and applications. Milano: Bocconi University Press; Cham: Springer (2015; Zbl 1387.60002) Full Text: DOI OpenURL
Takeyama, Yoshihiro A deformation of affine Hecke algebra and integrable stochastic particle system. (English) Zbl 1310.81083 J. Phys. A, Math. Theor. 47, No. 46, Article ID 465203, 19 p. (2014). Reviewer: Volodymyr Mazorchuk (Uppsala) MSC: 81R12 17B45 14L17 60J27 81R05 81R10 PDF BibTeX XML Cite \textit{Y. Takeyama}, J. Phys. A, Math. Theor. 47, No. 46, Article ID 465203, 19 p. (2014; Zbl 1310.81083) Full Text: DOI arXiv OpenURL
Faulkner, John R. The role of nonassociative algebra in projective geometry. (English) Zbl 1306.51001 Graduate Studies in Mathematics 159. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-1849-6/hbk). xiv, 229 p. (2014). Reviewer: Rolf Riesinger (Wien) MSC: 51-01 51A05 51A20 51A25 51A35 51C05 17D05 17C50 51E24 PDF BibTeX XML Cite \textit{J. R. Faulkner}, The role of nonassociative algebra in projective geometry. Providence, RI: American Mathematical Society (AMS) (2014; Zbl 1306.51001) OpenURL
Gnoatto, Alessandro; Grasselli, Martino The explicit Laplace transform for the Wishart process. (English) Zbl 1304.65008 J. Appl. Probab. 51, No. 3, 640-656 (2014). Reviewer: Maria Christina Mariani (El Paso) MSC: 65C30 60H35 91B70 44A10 60H20 PDF BibTeX XML Cite \textit{A. Gnoatto} and \textit{M. Grasselli}, J. Appl. Probab. 51, No. 3, 640--656 (2014; Zbl 1304.65008) Full Text: DOI arXiv Euclid OpenURL
Barczy, Mátyás; Döring, Leif; Li, Zenghu; Pap, Gyula Stationarity and ergodicity for an affine two-factor model. (English) Zbl 1305.60067 Adv. Appl. Probab. 46, No. 3, 878-898 (2014). MSC: 60J25 37A25 PDF BibTeX XML Cite \textit{M. Barczy} et al., Adv. Appl. Probab. 46, No. 3, 878--898 (2014; Zbl 1305.60067) Full Text: DOI arXiv Euclid OpenURL
Buchardt, Kristian Dependent interest and transition rates in life insurance. (English) Zbl 1296.91145 Insur. Math. Econ. 55, 167-179 (2014). MSC: 91B30 60J20 PDF BibTeX XML Cite \textit{K. Buchardt}, Insur. Math. Econ. 55, 167--179 (2014; Zbl 1296.91145) Full Text: DOI OpenURL
Kern, Peter; Wedrich, Lisa Dimension results related to the St. Petersburg game. (English) Zbl 1301.60046 Probab. Math. Stat. 34, No. 1, 97-117 (2014). Reviewer: Sophia L. Kalpazidou (Thessaloniki) MSC: 60G17 28A78 28A80 60G18 60G22 60G52 PDF BibTeX XML Cite \textit{P. Kern} and \textit{L. Wedrich}, Probab. Math. Stat. 34, No. 1, 97--117 (2014; Zbl 1301.60046) Full Text: Link OpenURL
Borceux, Francis An algebraic approach to geometry. Geometric trilogy II. (English) Zbl 1298.51002 Cham: Springer (ISBN 978-3-319-01732-7/hbk; 978-3-319-01733-4/ebook; 978-3-319-01804-1/set). xvii, 430 p. (2014). Reviewer: Rolf Riesinger (Wien) MSC: 51-01 01A05 51A15 51N10 51N15 51N20 51N35 14H05 14N05 PDF BibTeX XML Cite \textit{F. Borceux}, An algebraic approach to geometry. Geometric trilogy II. Cham: Springer (2014; Zbl 1298.51002) Full Text: DOI OpenURL
Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino A flexible matrix Libor model with smiles. (English) Zbl 1348.91267 J. Econ. Dyn. Control 37, No. 4, 774-793 (2013). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Da Fonseca} et al., J. Econ. Dyn. Control 37, No. 4, 774--793 (2013; Zbl 1348.91267) Full Text: DOI arXiv OpenURL
Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. (English) Zbl 1298.91166 Stochastics 85, No. 2, 321-345 (2013). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60F10 91B70 PDF BibTeX XML Cite \textit{A. Jacquier} et al., Stochastics 85, No. 2, 321--345 (2013; Zbl 1298.91166) Full Text: DOI arXiv OpenURL
Suzuki, Taiji; Aihara, Kazuyuki Nonlinear system identification for prostate cancer and optimality of intermittent androgen suppression therapy. (English) Zbl 1309.92047 Math. Biosci. 245, No. 1, 40-48 (2013). MSC: 92C50 62J02 PDF BibTeX XML Cite \textit{T. Suzuki} and \textit{K. Aihara}, Math. Biosci. 245, No. 1, 40--48 (2013; Zbl 1309.92047) Full Text: DOI OpenURL
Eberlein, Ernst; Grbac, Zorana; Schmidt, Thorsten Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. (English) Zbl 1290.91174 SIAM J. Financ. Math. 4, 616-649 (2013). Reviewer: Gong Guanglu (Beijing) MSC: 91G40 91G30 60G51 91G20 91-02 60G35 65C30 60H15 PDF BibTeX XML Cite \textit{E. Eberlein} et al., SIAM J. Financ. Math. 4, 616--649 (2013; Zbl 1290.91174) Full Text: DOI arXiv OpenURL
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef Regularity of affine processes on general state spaces. (English) Zbl 1291.60153 Electron. J. Probab. 18, Paper No. 43, 17 p. (2013). Reviewer: P. R. Parthasarathy (Chennai) MSC: 60J25 PDF BibTeX XML Cite \textit{M. Keller-Ressel} et al., Electron. J. Probab. 18, Paper No. 43, 17 p. (2013; Zbl 1291.60153) Full Text: DOI arXiv OpenURL
Cuchiero, Christa; Teichmann, Josef Path properties and regularity of affine processes on general state spaces. (English) Zbl 1287.60091 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLV. Cham: Springer (ISBN 978-3-319-00320-7/pbk; 978-3-319-00321-4/ebook). Lecture Notes in Mathematics 2078. Séminaire de Probabilités, 201-244 (2013). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60J25 60G17 PDF BibTeX XML Cite \textit{C. Cuchiero} and \textit{J. Teichmann}, Lect. Notes Math. 2078, 201--244 (2013; Zbl 1287.60091) Full Text: DOI arXiv OpenURL
Banerjee, Tamal; Ghosh, Mrinal K.; Iyer, Srikanth K. Pricing credit derivatives in a Markov-modulated reduced-form model. (English) Zbl 1271.91100 Int. J. Theor. Appl. Finance 16, No. 4, Article ID 1350018, 43 p. (2013). MSC: 91G20 91G40 60J28 91G80 PDF BibTeX XML Cite \textit{T. Banerjee} et al., Int. J. Theor. Appl. Finance 16, No. 4, Article ID 1350018, 43 p. (2013; Zbl 1271.91100) Full Text: DOI OpenURL
Yamazaki, Akira On valuation with stochastic proportional hazard models in finance. (English) Zbl 1269.91046 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350017, 34 p. (2013). MSC: 91B30 91B70 91G40 91G20 PDF BibTeX XML Cite \textit{A. Yamazaki}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350017, 34 p. (2013; Zbl 1269.91046) Full Text: DOI OpenURL
Barczy, Mátyás; Döring, Leif; Li, Zenghu; Pap, Gyula On parameter estimation for critical affine processes. (English) Zbl 1336.60165 Electron. J. Stat. 7, 647-696 (2013). MSC: 60J80 60F05 62F12 91G70 PDF BibTeX XML Cite \textit{M. Barczy} et al., Electron. J. Stat. 7, 647--696 (2013; Zbl 1336.60165) Full Text: DOI arXiv Euclid OpenURL
Liang, Jin; Xu, Yin Valuation of credit contingent interest rate swap. (English) Zbl 1263.91050 Risk Decis. Anal. 4, No. 1, 39-46 (2013). MSC: 91G30 91G40 PDF BibTeX XML Cite \textit{J. Liang} and \textit{Y. Xu}, Risk Decis. Anal. 4, No. 1, 39--46 (2013; Zbl 1263.91050) Full Text: DOI OpenURL
Ahdida, Abdelkoddousse; Alfonsi, Aurélien Exact and high-order discretization schemes for Wishart processes and their affine extensions. (English) Zbl 1269.65003 Ann. Appl. Probab. 23, No. 3, 1025-1073 (2013). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 65C30 60H35 91B70 60H10 60J65 35R60 PDF BibTeX XML Cite \textit{A. Ahdida} and \textit{A. Alfonsi}, Ann. Appl. Probab. 23, No. 3, 1025--1073 (2013; Zbl 1269.65003) Full Text: DOI arXiv Euclid OpenURL
Cont, Rama; Kokholm, Thomas A consistent pricing model for index options and volatility derivatives. (English) Zbl 1262.91132 Math. Finance 23, No. 2, 248-274 (2013). MSC: 91G20 91G30 91B74 PDF BibTeX XML Cite \textit{R. Cont} and \textit{T. Kokholm}, Math. Finance 23, No. 2, 248--274 (2013; Zbl 1262.91132) Full Text: DOI Link OpenURL
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina Conditional distributions of processes related to fractional Brownian motion. (English) Zbl 1281.60037 J. Appl. Probab. 50, No. 1, 166-183 (2013). Reviewer: Elisa Alòs (Barcelona) MSC: 60G22 60G15 60H10 60H20 91G30 60G10 91G60 PDF BibTeX XML Cite \textit{H. Fink} et al., J. Appl. Probab. 50, No. 1, 166--183 (2013; Zbl 1281.60037) Full Text: DOI Euclid OpenURL
Bermin, Hans-Peter Bonds and options in exponentially affine bond models. (English) Zbl 1372.91102 Appl. Math. Finance 19, No. 5-6, 513-534 (2012). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{H.-P. Bermin}, Appl. Math. Finance 19, No. 5--6, 513--534 (2012; Zbl 1372.91102) Full Text: DOI OpenURL
Bonnet, Rémi; Finkel, Alain; Praveen, M. Extending the Rackoff technique to affine nets. (English) Zbl 1354.68190 D’Souza, Deepak (ed.) et al., IARCS annual conference on foundations of software technology and theoretical computer science (FSTTCS 2012). Selected papers based on the presentations at the 32nd conference, Hyderabad, India, December 15–17, 2012. Wadern: Schloss Dagstuhl – Leibniz Zentrum für Informatik (ISBN 978-3-939897-47-7). LIPIcs – Leibniz International Proceedings in Informatics 18, 301-312 (2012). MSC: 68Q85 68Q25 68Q60 PDF BibTeX XML Cite \textit{R. Bonnet} et al., LIPIcs -- Leibniz Int. Proc. Inform. 18, 301--312 (2012; Zbl 1354.68190) Full Text: DOI OpenURL
Chang, Wen-Jer; Meng, Yu-Teh; Tsai, Kuo-Hui AQM router design for TCP network via input constrained fuzzy control of time-delay affine Takagi-Sugeno fuzzy models. (English) Zbl 1305.93107 Int. J. Syst. Sci. 43, No. 12, 2297-2313 (2012). MSC: 93C42 93C83 90B22 PDF BibTeX XML Cite \textit{W.-J. Chang} et al., Int. J. Syst. Sci. 43, No. 12, 2297--2313 (2012; Zbl 1305.93107) Full Text: DOI OpenURL
Klindworth, Dirk; Grepl, Martin A.; Vossen, Georg Certified reduced basis methods for parametrized parabolic partial differential equations with non-affine source terms. (English) Zbl 1243.65121 Comput. Methods Appl. Mech. Eng. 209-212, 144-155 (2012). MSC: 65M60 65M15 35K99 PDF BibTeX XML Cite \textit{D. Klindworth} et al., Comput. Methods Appl. Mech. Eng. 209--212, 144--155 (2012; Zbl 1243.65121) Full Text: DOI OpenURL
Cardelli, Luca; Gardner, Philippa Processes in space. (English) Zbl 1251.68153 Theor. Comput. Sci. 431, 40-55 (2012). MSC: 68Q85 PDF BibTeX XML Cite \textit{L. Cardelli} and \textit{P. Gardner}, Theor. Comput. Sci. 431, 40--55 (2012; Zbl 1251.68153) Full Text: DOI OpenURL
Asarin, Eugene; Mysore, Venkatesh P.; Pnueli, Amir; Schneider, Gerardo Low dimensional hybrid systems – decidable, undecidable, don’t know. (English) Zbl 1279.68127 Inf. Comput. 211, 138-159 (2012). MSC: 68Q45 68Q05 37B99 68Q85 PDF BibTeX XML Cite \textit{E. Asarin} et al., Inf. Comput. 211, 138--159 (2012; Zbl 1279.68127) Full Text: DOI OpenURL
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives. (English) Zbl 1277.91171 Quant. Finance 11, No. 11, 1647-1663 (2011). MSC: 91G20 60H30 60E10 91G30 91G60 PDF BibTeX XML Cite \textit{L. A. Grzelak} et al., Quant. Finance 11, No. 11, 1647--1663 (2011; Zbl 1277.91171) Full Text: DOI Link OpenURL
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten Doubly stochastic CDO term structures. (English) Zbl 1246.91144 Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications VI. Centro Stefano Franscini, Ascona, Italy, May 19–23, 2008. Basel: Birkhäuser (ISBN 978-3-0348-0020-4/pbk; 978-3-0348-0021-1/ebook). Progress in Probability 63, 413-428 (2011). MSC: 91G40 60H10 PDF BibTeX XML Cite \textit{D. Filipović} et al., Prog. Probab. 63, 413--428 (2011; Zbl 1246.91144) Full Text: DOI OpenURL
Fan, Longzhen; Cheng, Nanyan An interest rate model with jump-mean reverting stochastic mean. (Chinese. English summary) Zbl 1240.91176 J. Syst. Eng. 26, No. 3, 298-305 (2011). MSC: 91G30 91G80 91G60 PDF BibTeX XML Cite \textit{L. Fan} and \textit{N. Cheng}, J. Syst. Eng. 26, No. 3, 298--305 (2011; Zbl 1240.91176) OpenURL
Kallsen, Jan; Muhle-Karbe, Johannes; Voß, Moritz Pricing options on variance in affine stochastic volatility models. (English) Zbl 1239.91164 Math. Finance 21, No. 4, 627-641 (2011). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 60H05 60G48 60E10 PDF BibTeX XML Cite \textit{J. Kallsen} et al., Math. Finance 21, No. 4, 627--641 (2011; Zbl 1239.91164) Full Text: DOI Link OpenURL
Gushchin, Alexander A.; Küchler, Uwe On estimation of delay location. (English) Zbl 1274.62562 Stat. Inference Stoch. Process. 14, No. 3, 273-305 (2011). MSC: 62M09 34K50 60G10 60G30 62F12 60G22 PDF BibTeX XML Cite \textit{A. A. Gushchin} and \textit{U. Küchler}, Stat. Inference Stoch. Process. 14, No. 3, 273--305 (2011; Zbl 1274.62562) Full Text: DOI OpenURL
Gourieroux, Christian; Sufana, Razvan Discrete time Wishart term structure models. (English) Zbl 1231.91455 J. Econ. Dyn. Control 35, No. 6, 815-824 (2011). MSC: 91G30 PDF BibTeX XML Cite \textit{C. Gourieroux} and \textit{R. Sufana}, J. Econ. Dyn. Control 35, No. 6, 815--824 (2011; Zbl 1231.91455) Full Text: DOI OpenURL
Grzelak, Lech A.; Oosterlee, Cornelis W. On the Heston model with stochastic interest rates. (English) Zbl 1229.91338 SIAM J. Financ. Math. 2, 255-286 (2011). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G60 91G30 91G20 PDF BibTeX XML Cite \textit{L. A. Grzelak} and \textit{C. W. Oosterlee}, SIAM J. Financ. Math. 2, 255--286 (2011; Zbl 1229.91338) Full Text: DOI Link OpenURL
Keller-Ressel, Martin Moment explosions and long-term behavior of affine stochastic volatility models. (English) Zbl 1229.91135 Math. Finance 21, No. 1, 73-98 (2011). MSC: 91B25 91G80 PDF BibTeX XML Cite \textit{M. Keller-Ressel}, Math. Finance 21, No. 1, 73--98 (2011; Zbl 1229.91135) Full Text: DOI arXiv OpenURL
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten Dynamic CDO term structure modeling. (English) Zbl 1229.91306 Math. Finance 21, No. 1, 53-71 (2011). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{D. Filipović} et al., Math. Finance 21, No. 1, 53--71 (2011; Zbl 1229.91306) Full Text: DOI OpenURL
Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. Affine point processes and portfolio credit risk. (English) Zbl 1200.91296 SIAM J. Financ. Math. 1, 642-665 (2010). Reviewer: Ilya S. Molchanov (Bern) MSC: 91G40 60G55 91G20 60J99 PDF BibTeX XML Cite \textit{E. Errais} et al., SIAM J. Financ. Math. 1, 642--665 (2010; Zbl 1200.91296) Full Text: DOI Link OpenURL
Alfonsi, Aurélien High order discretization schemes for the CIR process: application to affine term structure and heston models. (English) Zbl 1198.60030 Math. Comput. 79, No. 269, 209-237 (2010). MSC: 60H35 65C30 91B70 PDF BibTeX XML Cite \textit{A. Alfonsi}, Math. Comput. 79, No. 269, 209--237 (2010; Zbl 1198.60030) Full Text: DOI OpenURL
Cardelli, Luca; Gardner, Philippa Processes in space. (English) Zbl 1286.68345 Ferreira, Fernando (ed.) et al., Programs, proofs, processes. 6th conference on computability in Europe, CiE 2010, Ponta Delgada, Azores, Portugal, June 30–July 4, 2010. Proceedings. Berlin: Springer (ISBN 978-3-642-13961-1/pbk). Lecture Notes in Computer Science 6158, 78-87 (2010). MSC: 68Q85 51N10 68U05 PDF BibTeX XML Cite \textit{L. Cardelli} and \textit{P. Gardner}, Lect. Notes Comput. Sci. 6158, 78--87 (2010; Zbl 1286.68345) Full Text: DOI OpenURL
Kallsen, Jan; Pauwels, Arnd Variance-optimal hedging in general affine stochastic volatility models. (English) Zbl 1189.91231 Adv. Appl. Probab. 42, No. 1, 83-105 (2010). Reviewer: Thomas Wakefield (Youngstown) MSC: 91G80 60H05 60G48 93E20 91G20 PDF BibTeX XML Cite \textit{J. Kallsen} and \textit{A. Pauwels}, Adv. Appl. Probab. 42, No. 1, 83--105 (2010; Zbl 1189.91231) Full Text: DOI OpenURL
Kluge, Wolfgang; Papapantoleon, Antonis On the valuation of compositions in Lévy term structure models. (English) Zbl 1182.91184 Quant. Finance 9, No. 8, 951-959 (2009). MSC: 91G30 91G20 60G51 42A38 PDF BibTeX XML Cite \textit{W. Kluge} and \textit{A. Papapantoleon}, Quant. Finance 9, No. 8, 951--959 (2009; Zbl 1182.91184) Full Text: DOI arXiv Link OpenURL
Schapira, Bruno Random walk on a building of type \(\tilde A_r\) and Brownian motion of the Weyl chamber. (English) Zbl 1218.60003 Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 2, 289-301 (2009). MSC: 60B10 05A16 51E24 60B15 60J10 60J25 60J65 PDF BibTeX XML Cite \textit{B. Schapira}, Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 2, 289--301 (2009; Zbl 1218.60003) Full Text: DOI arXiv EuDML OpenURL
Belomestny, Denis; Kampen, Jörg; Schoenmakers, John Holomorphic transforms with application to affine processes. (English) Zbl 1178.60034 J. Funct. Anal. 257, No. 4, 1222-1250 (2009). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60J25 47D07 60J35 91G60 PDF BibTeX XML Cite \textit{D. Belomestny} et al., J. Funct. Anal. 257, No. 4, 1222--1250 (2009; Zbl 1178.60034) Full Text: DOI arXiv OpenURL
Zhao, Juan Long time behaviour of stochastic interest rate models. (English) Zbl 1162.91391 Insur. Math. Econ. 44, No. 3, 459-463 (2009). MSC: 91B28 60H30 60J75 PDF BibTeX XML Cite \textit{J. Zhao}, Insur. Math. Econ. 44, No. 3, 459--463 (2009; Zbl 1162.91391) Full Text: DOI OpenURL
Ma, Chunhua Fluctuation limit theorems for catalytic CBI-processes. (Chinese. English summary) Zbl 1174.60425 J. Beijing Norm. Univ., Nat. Sci. 44, No. 2, 115-118 (2008). MSC: 60J80 60F99 60G57 PDF BibTeX XML Cite \textit{C. Ma}, J. Beijing Norm. Univ., Nat. Sci. 44, No. 2, 115--118 (2008; Zbl 1174.60425) OpenURL
Li, Zenghu; Ma, Chunhua Catalytic discrete state branching models and related limit theorems. (English) Zbl 1153.60047 J. Theor. Probab. 21, No. 4, 936-965 (2008). MSC: 60J80 60J35 60K37 60H20 PDF BibTeX XML Cite \textit{Z. Li} and \textit{C. Ma}, J. Theor. Probab. 21, No. 4, 936--965 (2008; Zbl 1153.60047) Full Text: DOI OpenURL
Bradley, Aaron R.; Manna, Zohar Property-directed incremental invariant generation. (English) Zbl 1149.68402 Formal Asp. Comput. 20, No. 4-5, 379-405 (2008). MSC: 68Q60 68Q85 PDF BibTeX XML Cite \textit{A. R. Bradley} and \textit{Z. Manna}, Formal Asp. Comput. 20, No. 4--5, 379--405 (2008; Zbl 1149.68402) Full Text: DOI OpenURL
Černý, Aleš; Kallsen, Jan Mean-variance hedging and optimal investment in Heston’s model with correlation. (English) Zbl 1141.91413 Math. Finance 18, No. 3, 473-492 (2008). MSC: 91B28 91B70 PDF BibTeX XML Cite \textit{A. Černý} and \textit{J. Kallsen}, Math. Finance 18, No. 3, 473--492 (2008; Zbl 1141.91413) Full Text: DOI OpenURL
Keller-Ressel, Martin; Steiner, Thomas Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. (English) Zbl 1150.91020 Finance Stoch. 12, No. 2, 149-172 (2008); corrigendum ibid. 22, No. 503-510 (2018). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G30 60J25 PDF BibTeX XML Cite \textit{M. Keller-Ressel} and \textit{T. Steiner}, Finance Stoch. 12, No. 2, 149--172 (2008; Zbl 1150.91020) Full Text: DOI arXiv OpenURL
Grasselli, Martino; Tebaldi, Claudio Stochastic Jacobian and Riccati ODE in affine term structure models. (English) Zbl 1154.60056 Decis. Econ. Finance 30, No. 2, 95-108 (2007). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60H30 62P20 91B28 PDF BibTeX XML Cite \textit{M. Grasselli} and \textit{C. Tebaldi}, Decis. Econ. Finance 30, No. 2, 95--108 (2007; Zbl 1154.60056) Full Text: DOI OpenURL
Li, Zeng-Hu Branching processes with immigration and related topics. (English) Zbl 1222.60064 Front. Math. China 1, No. 1, 73-97 (2006). MSC: 60J80 60F05 60H20 60K37 PDF BibTeX XML Cite \textit{Z.-H. Li}, Front. Math. China 1, No. 1, 73--97 (2006; Zbl 1222.60064) Full Text: DOI arXiv Link OpenURL
Kallsen, Jan A didactic note on affine stochastic volatility models. (English) Zbl 1104.60024 Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 343-368 (2006). Reviewer: Pavel Gapeev (Berlin) MSC: 60G99 91B70 PDF BibTeX XML Cite \textit{J. Kallsen}, in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 343--368 (2006; Zbl 1104.60024) OpenURL