10 citations · 12 across the 3 of their papers we have counts for
Showing math.PRShow all
2 papers · 1 filter
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…