78 citations · 171 across the 33 of their papers we have counts for
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math.PR2008
Polynomial processes and their applications to mathematical Finance
Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann
We introduce a class of Markov processes, called -polynomial, for which the calculation of (mixed) moments up to order only requires the computation of matrix exponentials.…
q-fin.PR2008★ 1 cited
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Martin Keller-Ressel
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic an…