23 citations · 66 across the 10 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.MF2019
Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
Flavia Antonacci, Cristina Costantini, Fernanda D'Ippoliti +1
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous tim…
math.PR2019★ 5 cited
Markov selection for constrained martingale problems
Cristina Costantini, Thomas G. Kurtz
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some wa…