STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS-Reference-Cited by-同舟云学术

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STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

Published:2013-12-02 Issue:2 Volume:26 Page:366-394
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Alfonsi Aurélien¹,Labart Céline²,Lelong Jérôme³

Affiliation:

1. Université Paris-Est

2. Université de Savoie

3. Université Grenoble Alpes

Publisher

Wiley

Subject

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

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12059/fullpdf

Reference17 articles.

1. A Nonlinear Partial Integro-Differential Equation from Mathematical Finance;Abergel;Discrete Contin. Dyn. Syst.,2010

2. Stochastic Local Volatility;Alexander;Proceedings of the 2nd IASTED International Conference,2004

3. High Order Discretization Schemes for the CIR Process: Application to Affine Term Structure and Heston Models;Alfonsi;Math. Comp.,2010

4. BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives;Arnsdorf;J. Comput. Finance,2008

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Inverting the Markovian projection, with an application to local stochastic volatility models;The Annals of Probability;2020-09-01

2. Existence of a calibrated regime switching local volatility model;Mathematical Finance;2020-04

3. Existence of a Calibrated Regime Switching Local Volatility Model and New Fake Brownian Motions;SSRN Electronic Journal;2017

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