Polynomial Jump-Diffusion Models
Author:
Affiliation:
1. Swiss Finance Institute, Swiss Federal Institute of Technology Lausanne (EPFL), 1015 Lausanne, Switzerland;
2. Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, Pennsylvania 15213
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability
Reference33 articles.
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4. Cuchiero C (2011) Affine and polynomial processes. Unpublished doctoral dissertation, ETH Zurich, Zurich, Switzerland.
5. Polynomial processes in stochastic portfolio theory
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