103 citations · 103 across the 1 of their papers we have counts for
3 papers
math.PR2005★ 103 cited
Equivalent and absolutely continuous measure changes for jump-diffusion processes
Patrick Cheridito, Damir Filipovic, Marc Yor
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a pote…
math.PR2002
On Finite-dimensional Term Structure models
Damir Filipovic, Josef Teichmann
In this paper we provide the characterization of all finite-dimensional Heath--Jarrow--Morton models that admit arbitrary initial yield curves. It is well known that affine term st…
math.FA2001
Regularity of finite-dimensional realizations for Evolution Equations
Damir Filipovic, Josef Teichmann
We show that a continuous local semiflow of -maps on a finite-dimensional -manifold M can be embedded into a local -flow on M under some weak (necessary) assumptions…