227 citations · 354 across the 14 of their papers we have counts for
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q-fin.CP2010
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Christian Bayer, Peter Friz, Ronnie Loeffen
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], invo…
q-fin.CP2010★ 5 cited
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Ronnie L. Loeffen, Pierre Patie
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability…