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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…