10 citations · 17 across the 11 of their papers we have counts for
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math.PR2016★ 1 cited
Continuous-state branching processes, extremal processes and super-individuals
Clément Foucart, Chunhua Ma
The long-term behaviors of flows of continuous-state branching processes are characterized through subordinators and extremal processes. The extremal processes arise in the case of…
q-fin.CP2016
Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
Ying Jiao, Chunhua Ma, Simone Scotti
We introduce a class of interest rate models, called the -CIR model, which gives a natural extension of the standard CIR model by adopting the -stable L{é}vy process and pres…