4 citations · 4 across the 1 of their papers we have counts for
3 papers
q-fin.MF2020★ 4 cited
A pure-jump mean-reverting short rate model
Markus Hess
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-ju…
q-fin.PR2018
Cliquet option pricing in a jump-diffusion Lévy model
Markus Hess
We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a dri…
q-fin.PR2018
Cliquet option pricing with Meixner processes
Markus Hess
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a…