10 citations · 12 across the 3 of their papers we have counts for
3 papers
math.PR2009★ 2 cited
Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity
Damir Filipovic, Stefan Tappe, Josef Teichmann
In the spirit of Björk-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. Thi…
math.PR2009★ 10 cited
Affine Diffusion Processes: Theory and Applications
Damir Filipovic, Eberhard Mayerhofer
We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes…
q-fin.PR2008
Affine Models
Christa Cuchiero, Damir Filipovic, Josef Teichmann
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this a…