6 citations · 7 across the 2 of their papers we have counts for
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q-fin.PR2021★ 6 cited
CBI-time-changed Lévy processes for multi-currency modeling
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed Lévy processes. The proposed framework captures the typical risk characteris…
q-fin.PR2019
Multiple yield curve modelling with CBI processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of…