most citedSignature-based models: theory and calibration

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math.PR2024

Holomorphic jump-diffusions

Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro

We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property conc…

math.PR2021★ 2 cited

Measure-valued affine and polynomial diffusions

Christa Cuchiero, Francesco Guida, Luca di Persio +1

We introduce a class of measure-valued processes, which -- in analogy to their finite dimensional counterparts -- will be called measure-valued polynomial diffusions. We show the s…