Polynomial processes and their applications to mathematical finance

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Author
Cuchiero, Christa
Keller-Ressel, Martin
Teichmann, Josef
Date
2012-10
Type
    Journal Article
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-b-000056200
Publication status
published
External links
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 / Teichmann, Josef  
Notes
Received 30 December 2008, Accepted 19 March 2012, Published online 3 July 2012. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
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Citations
Cited 52 times in Web of Science
ETH Bibliography
yes
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