Abstract polynomial processes-Reference-Cited by-同舟云学术

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Abstract polynomial processes

Published:2024-01-01 Issue:none Volume:29 Page:
ISSN:1083-6489
Container-title:Electronic Journal of Probability
language:
Short-container-title:Electron. J. Probab.

Author:

Espen Benth Fred¹,Detering Nils²,Krühner Paul³

Affiliation:

1. University of Oslo, Department of Mathematics, P.O. Box 1053, Blindern, 0316 Oslo, Norway

2. Heinrich-Heine-Universität Düsseldorf, Department of Mathematics, 40225 Düsseldorf, Germany

3. WU Vienna, Institute for Statistics and Mathematics, Welthandelsplatz 1, 1020 Vienna, Austria

Publisher

Institute of Mathematical Statistics

Reference29 articles.

1. Ackerer, D., Filipović, D. and Pulido, S.: The Jacobi stochastic volatility model. Finance Stoch. 22(3), (2018), 667–700.

2. Benth, F. E., Detering, N. and Krühner, P.: Independent increment processes: a multilinearity preserving property. Stochastics 93(6), (2021), 803–832.

3. Benth, F. E. and Lavagnini, S.: Correlators of polynomial processes. SIAM J. Finan. Math. 12(4), (2021), 1374–1415.

4. Benth, F. E. and Krühner, P.: Derivatives pricing in energy markets: an infinite dimensional approach. SIAM J. Finan. Math. 6(1), (2015), 825–869.

5. Biagini, F. and Zhang, Y.: Polynomial diffusion models for life insurance liabilities. Insurance Math. Economics 71, (2016), 114–129.

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