Cox, Sonja; Karbach, Sven; Khedher, Asma An infinite-dimensional affine stochastic volatility model. (English) Zbl 1522.91270 Math. Finance 32, No. 3, 878-906 (2022). MSC: 91G20 60J60 PDFBibTeX XMLCite \textit{S. Cox} et al., Math. Finance 32, No. 3, 878--906 (2022; Zbl 1522.91270) Full Text: DOI arXiv OA License
Carr, Peter; Lee, Roger; Lorig, Matthew Robust replication of volatility and hybrid derivatives on jump diffusions. (English) Zbl 1522.91267 Math. Finance 31, No. 4, 1394-1422 (2021). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{P. Carr} et al., Math. Finance 31, No. 4, 1394--1422 (2021; Zbl 1522.91267) Full Text: DOI arXiv
Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao The alpha-Heston stochastic volatility model. (English) Zbl 1522.91278 Math. Finance 31, No. 3, 943-978 (2021). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{Y. Jiao} et al., Math. Finance 31, No. 3, 943--978 (2021; Zbl 1522.91278) Full Text: DOI arXiv
Filipović, Damir; Willems, Sander A term structure model for dividends and interest rates. (English) Zbl 1508.91580 Math. Finance 30, No. 4, 1461-1496 (2020). MSC: 91G30 91G20 60J74 PDFBibTeX XMLCite \textit{D. Filipović} and \textit{S. Willems}, Math. Finance 30, No. 4, 1461--1496 (2020; Zbl 1508.91580) Full Text: DOI arXiv
Cai, Ning; Yang, Xuewei International reserve management: a drift-switching reflected jump-diffusion model. (English) Zbl 1403.91308 Math. Finance 28, No. 1, 409-446 (2018). MSC: 91G10 60J75 PDFBibTeX XMLCite \textit{N. Cai} and \textit{X. Yang}, Math. Finance 28, No. 1, 409--446 (2018; Zbl 1403.91308) Full Text: DOI
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian High-order short-time expansions for ATM option prices of exponential Lévy models. (English) Zbl 1348.91268 Math. Finance 26, No. 3, 516-557 (2016). MSC: 91G20 60G51 60J75 60H30 PDFBibTeX XMLCite \textit{J. E. Figueroa-López} et al., Math. Finance 26, No. 3, 516--557 (2016; Zbl 1348.91268) Full Text: DOI arXiv
Mijatović, Aleksandar; Tankov, Peter A new look at short-term implied volatility in asset price models with jumps. (English) Zbl 1403.91348 Math. Finance 26, No. 1, 149-183 (2016). Reviewer: Weiping Li (Stillwater) MSC: 91G20 60G51 60J75 PDFBibTeX XMLCite \textit{A. Mijatović} and \textit{P. Tankov}, Math. Finance 26, No. 1, 149--183 (2016; Zbl 1403.91348) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{R. Cont} and \textit{T. Kokholm}, Math. Finance 23, No. 2, 248--274 (2013; Zbl 1262.91132) Full Text: DOI Link
Zhang, Jin E.; Zhao, Huimin; Chang, Eric C. Equilibrium asset and option pricing under jump diffusion. (English) Zbl 1278.91069 Math. Finance 22, No. 3, 538-568 (2012). MSC: 91B25 91G20 60J60 60J75 PDFBibTeX XMLCite \textit{J. E. Zhang} et al., Math. Finance 22, No. 3, 538--568 (2012; Zbl 1278.91069) Full Text: DOI Link
Yu, Cindy L.; Li, Haitao; Wells, Martin T. MCMC estimation of Lévy jump models using stock and option prices. (English) Zbl 1229.91367 Math. Finance 21, No. 3, 383-422 (2011). Reviewer: Ryszard Doman (Poznań) MSC: 91G70 91B70 60G51 60J60 62F15 65C40 65C05 PDFBibTeX XMLCite \textit{C. L. Yu} et al., Math. Finance 21, No. 3, 383--422 (2011; Zbl 1229.91367) Full Text: DOI Link
Yip, Wing Yan; Stephens, David; Olhede, Sofia Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy market. (English) Zbl 1232.91678 Math. Finance 20, No. 4, 617-646 (2010). MSC: 91G20 91G10 60G51 91G60 PDFBibTeX XMLCite \textit{W. Y. Yip} et al., Math. Finance 20, No. 4, 617--646 (2010; Zbl 1232.91678) Full Text: DOI arXiv
Bäuerle, Nicole; Rieder, Ulrich Portfolio optimization with jumps and unobservable intensity process. (English) Zbl 1186.91189 Math. Finance 17, No. 2, 205-224 (2007). MSC: 91G10 60J75 49L20 93E20 93E11 PDFBibTeX XMLCite \textit{N. Bäuerle} and \textit{U. Rieder}, Math. Finance 17, No. 2, 205--224 (2007; Zbl 1186.91189) Full Text: DOI Link
Duan, Jin-Chuan; Ritchken, Peter; Sun, Zhiqiang Approximating GARCH-jump models, jump-diffusion processes, and option pricing. (English) Zbl 1136.91427 Math. Finance 16, No. 1, 21-52 (2006). MSC: 91G20 60J75 62M10 91B84 PDFBibTeX XMLCite \textit{J.-C. Duan} et al., Math. Finance 16, No. 1, 21--52 (2006; Zbl 1136.91427) Full Text: DOI
Gukhal, Chandrasekhar Reddy Analytical valuation of American options on jump-diffusion processes. (English) Zbl 1049.91071 Math. Finance 11, No. 1, 97-115 (2001). Reviewer: Martin Schweizer (Zürich) MSC: 91B28 60J75 60J70 PDFBibTeX XMLCite \textit{C. R. Gukhal}, Math. Finance 11, No. 1, 97--115 (2001; Zbl 1049.91071) Full Text: DOI
Scott, Louis O. Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. (English) Zbl 1020.91030 Math. Finance 7, No. 4, 413-426 (1997). MSC: 91G20 60J65 PDFBibTeX XMLCite \textit{L. O. Scott}, Math. Finance 7, No. 4, 413--426 (1997; Zbl 1020.91030) Full Text: DOI
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang Bond market structure in the presence of marked point processes. (English) Zbl 0884.90014 Math. Finance 7, No. 2, 211-239 (1997). MSC: 91B28 60G35 PDFBibTeX XMLCite \textit{T. Björk} et al., Math. Finance 7, No. 2, 211--239 (1997; Zbl 0884.90014) Full Text: DOI