TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS-Reference-Cited by-同舟云学术

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TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

Published:2012-11-02 Issue:2 Volume:24 Page:289-330
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Li Lingfei¹,Linetsky Vadim²

Affiliation:

1. The Chinese University of Hong Kong

2. Northwestern University

Funder

National Science Foundation

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12003/fullpdf

Reference77 articles.

1. Unifying the Three Volatility Models;Albanese;Risk,2004

2. Infinite-Dimensional Stochastic Differential Equations Obtained by Subordination and Related Dirichelet Forms;Alberverio;J. Funct. Anal.,2003

3. Subordination of Symmetric Quasi-Regular Dirichlet Forms;Alberverio;Random Oper. Stoch. Equ.,2005

4. Andersen , L. 2008 Markov Models for Commodity Futures: Theory and Practice Bank of America Securities

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