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Polynomial processes and their applications to mathematical finance

Citations

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Cited by:

  1. Xi Kleisinger-Yu & Vlatka Komaric & Martin Larsson & Markus Regez, 2019. "A multi-factor polynomial framework for long-term electricity forwards with delivery period," Papers 1908.08954, arXiv.org, revised Jun 2020.
  2. Tong, Zhigang & Liu, Allen, 2022. "Pricing variance swaps under subordinated Jacobi stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  3. Pierre-Edouard Arrouy & Sophian Mehalla & Bernard Lapeyre & Alexandre Boumezoued, 2020. "Jacobi Stochastic Volatility factor for the Libor Market Model," Working Papers hal-02468583, HAL.
  4. Schmidt, Thorsten & Tappe, Stefan & Yu, Weijun, 2020. "Infinite dimensional affine processes," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7131-7169.
  5. Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
  6. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
  7. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
  8. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
  9. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi stochastic volatility factor for the LIBOR market model," Finance and Stochastics, Springer, vol. 26(4), pages 771-823, October.
  10. Maximilian Gaß & Kathrin Glau & Mirco Mahlstedt & Maximilian Mair, 2018. "Chebyshev interpolation for parametric option pricing," Finance and Stochastics, Springer, vol. 22(3), pages 701-731, July.
  11. Fred Espen Benth, 2021. "Pricing of Commodity and Energy Derivatives for Polynomial Processes," Mathematics, MDPI, vol. 9(2), pages 1-30, January.
  12. Christa Cuchiero & Francesca Primavera & Sara Svaluto-Ferro, 2022. "Universal approximation theorems for continuous functions of c\`adl\`ag paths and L\'evy-type signature models," Papers 2208.02293, arXiv.org, revised Aug 2023.
  13. Graczyk, Piotr & Małecki, Jacek & Mayerhofer, Eberhard, 2018. "A characterization of Wishart processes and Wishart distributions," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1386-1404.
  14. Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2021. "Quantization goes polynomial," Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 361-376, March.
  15. Kevin Kurt & Rudiger Frey, 2021. "Markov-Modulated Affine Processes," Papers 2106.16240, arXiv.org, revised Aug 2022.
  16. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
  17. Christa Cuchiero & Luca Di Persio & Francesco Guida & Sara Svaluto-Ferro, 2022. "Measure-valued processes for energy markets," Papers 2210.09331, arXiv.org.
  18. Larsson, Martin & Pulido, Sergio, 2017. "Polynomial diffusions on compact quadric sets," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 901-926.
  19. Bryc, Wlodzimierz & Wesołowski, Jacek, 2014. "Infinitesimal generators of q-Meixner processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 915-926.
  20. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
  21. Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org, revised Dec 2020.
  22. Christa Cuchiero & Martin Larsson & Sara Svaluto-Ferro, 2018. "Probability measure-valued polynomial diffusions," Papers 1807.03229, arXiv.org.
  23. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
  24. Damien Ackerer & Damir Filipovic & Sergio Pulido, 2017. "The Jacobi Stochastic Volatility Model," Working Papers hal-01338330, HAL.
  25. Hlouskova, Jaroslava & Sögner, Leopold, 2020. "GMM estimation of affine term structure models," Econometrics and Statistics, Elsevier, vol. 13(C), pages 2-15.
  26. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
  27. Fred Espen Benth & Silvia Lavagnini, 2019. "Correlators of Polynomial Processes," Papers 1906.11320, arXiv.org, revised Apr 2021.
  28. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
  29. Filipović, Damir & Larsson, Martin & Pulido, Sergio, 2020. "Markov cubature rules for polynomial processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1947-1971.
  30. Chenyu Zhao & Misha Beek & Peter Spreij & Makhtar Ba, 2025. "Polynomial approximation of discounted moments," Finance and Stochastics, Springer, vol. 29(1), pages 63-95, January.
  31. Damir Filipovic & Martin Larsson & Tony Ware, 2017. "Polynomial processes for power prices," Papers 1710.10293, arXiv.org, revised Apr 2018.
  32. Christa Cuchiero & Guido Gazzani & Sara Svaluto-Ferro, 2022. "Signature-based models: theory and calibration," Papers 2207.13136, arXiv.org.
  33. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
  34. Cuchiero, Christa & Di Persio, Luca & Guida, Francesco & Svaluto-Ferro, Sara, 2024. "Measure-valued affine and polynomial diffusions," Stochastic Processes and their Applications, Elsevier, vol. 175(C).
  35. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
  36. Damir Filipovi'c & Martin Larsson & Sergio Pulido, 2017. "Markov cubature rules for polynomial processes," Papers 1707.06849, arXiv.org, revised Jun 2019.
  37. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
  38. Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao, 2021. "Risk‐neutral pricing techniques and examples," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 857-884, July.
  39. Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
  40. Christa Cuchiero & Francesco Guida & Luca di Persio & Sara Svaluto-Ferro, 2021. "Measure-valued affine and polynomial diffusions," Papers 2112.15129, arXiv.org.
  41. Chenyu Zhao & Misha van Beek & Peter Spreij & Makhtar Ba, 2021. "Polynomial Approximation of Discounted Moments," Papers 2111.00274, arXiv.org.
  42. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
  43. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  44. repec:uts:finphd:41 is not listed on IDEAS
  45. Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
  46. Ben Zineb Tarik & Gobet Emmanuel, 2013. "Preliminary control variates to improve empirical regression methods," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 331-354, December.
  47. Aur'elien Alfonsi & Edoardo Lombardo, 2024. "High order approximations and simulation schemes for the log-Heston process," Papers 2407.17151, arXiv.org, revised Dec 2024.
  48. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
  49. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
  50. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
  51. Mar'ia Fernanda del Carmen Agoitia Hurtado & Thorsten Schmidt, 2018. "Time-inhomogeneous polynomial processes," Papers 1806.03887, arXiv.org.
  52. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
  53. Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.
  54. Christa Cuchiero & Tonio Mollmann & Josef Teichmann, 2023. "Ramifications of generalized Feller theory," Papers 2308.03858, arXiv.org.
  55. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
  56. Christa Cuchiero & Guido Gazzani & Janka Moller & Sara Svaluto-Ferro, 2023. "Joint calibration to SPX and VIX options with signature-based models," Papers 2301.13235, arXiv.org, revised Jul 2024.
  57. Christa Cuchiero & Sara Svaluto-Ferro & Josef Teichmann, 2023. "Signature SDEs from an affine and polynomial perspective," Papers 2302.01362, arXiv.org, revised Feb 2025.
  58. Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
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