Polynomial processes and their applications to mathematical finance - Research Collection

Metadata only

Author

Cuchiero, Christa

Keller-Ressel, Martin

Teichmann, Josef

Date

2012-10

Type

Journal Article

Citations

Cited 21 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1007/s00780-012-0188-x

Journal / series

Finance and Stochastics

Volume

16(4)

Pages / Article No.

711 - 740

Publisher

Springer

Subject

Markov processes; Diffusions with jumps; Affine processes; Analytic tractability; Pricing; Hedging

Organisational unit

03845 - Teichmann, Josef

Notes

Received 30 December 2008, Accepted 19 March 2012, Published online 3 July 2012.

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Citations

Cited 21 times in Web of Science

ETH Bibliography

yes

Altmetrics