Transform Analysis and Asset Pricing for Affine Jump-diffusions

Bakshi G., 1997, Journal of Finance, 52, 2003, 10.1111/j.1540-6261.1997.tb02749.x

10.1016/S0304-405X(99)00050-1

10.1093/rfs/9.1.69

D. Bates(1997 ): "Post-'87 Crash Fears in S & P 500 Futures Options ," Working Paper 5894, National Bureau of Economic Research.

L. Benzoni(1998 ): "Pricing Options under Stochastic Volatility: An Econometric Analysis ," Working Paper, J. L. Kellogg Graduate School of Management, Northwestern University.

10.1016/0304-4076(95)01736-4

Bremaud P., 1981, Point Processes and Queues, Martingale Dynamics, 10.1007/978-1-4684-9477-8

Brown R., 1993, Philosophical Transactions of the Royal Society, Physical Sciences and Engineering, 347, 563, 10.1098/rsta.1994.0066

Buhlmann H., 1996, CWI Quarterly, 9, 291

G. Chacko, and S. Das(1998 ): "Pricing Average Interest Rate Options: A General Approach ," Working Paper, Harvard Business School, Harvard University.

G. Chacko, and L. Viceira(1999 ): "Dynamic Consumption and Portfolio Choice with Stochastic Volatility ," Working Paper, School of Business, Harvard University.

Chen R., 1993, The Journal of Fixed Income, 3, 14, 10.3905/jfi.1993.408090

Chen R., 1995, Journal of Derivatives, 3, 53, 10.3905/jod.1995.407938

10.1016/S0304-405X(00)00046-5

Cox J. C., 1985, Econometrica, 53, 385, 10.2307/1911242

Dai Q., 1999, Journal of Finance

S. Das(1998 ): "Poisson-Gaussian Processes and The Bond Markets ," Working Paper, Harvard Business School, Harvard University.

10.1007/BF01450498

Duffie D., 1996, Mathematical Finance, 6, 379, 10.1111/j.1467-9965.1996.tb00123.x

10.1093/rfs/12.4.687

Ethier S., 1986, Markov Processes, Characterization and Convergence, 10.1002/9780470316658

D. FILIPOVIC (1999 ): "A General Characterization of Affine Term Structure Models ," Working Paper, ETH, Zurich.

10.1162/003465399558481

GIL-PELAEZ J., 1951, Biometrika, 38, 481, 10.1093/biomet/38.3-4.481

10.1016/0022-0531(79)90043-7

10.1093/rfs/6.2.327

Jamshidian F., 1989, Journal of Finance, 44, 205, 10.1111/j.1540-6261.1989.tb02413.x

10.1093/rfs/10.2.481

G. Jiang, and J. Knight(1999 ): "Efficient Estimation of the Continuous Time Stochastic Volatility Model Via the Empirical Characteristic Function ," Working Paper, University of Western Ontario.

10.1137/1116003

10.1023/A:1018626005149

J. Liu(1997 ): "Generalized Method of Moments Estimation of Affine Diffusion Processes ," Working Paper, Graduate School of Business, Stanford University.

J. Liu, J. Pan, and L. Pedersen(2000 ): "Density-Based Inference in Affine Jump-Diffusions ," Working Paper, Graduate School of Business, Stanford University.

J. Pan(1998 ): "'Integrated' Time-Series Analysis of Spot and Options Prices ," Working Paper, Graduate School of Business, Stanford University.

M. Piazzesi(1998 ): "Monetary Policy and Macroeconomic Variables in a Model of the Term Structure of Interest Rates ," Working Paper, Stanford University.

A. M. Poteshman(1998 ): "Estimating a General Stochastic Variance Model from Options Prices ," Working Paper, Graduate School of Business, University of Chicago.

Protter P., 1990, Stochastic Integration and Differential Equations, 10.1007/978-3-662-02619-9

L. Scott(1996 ): "The Valuation of Interest Rate Derivatives in a Multi-Factor Cox-Ingersoll-Ross Model that Matches the Initial Term Structure ," Working Paper, University of Georgia.

10.1111/1467-9965.00039

Singleton K., 2000, Journal of Econometrics

10.1016/0304-405X(77)90016-2

Williams D., 1991, Probability with Martingales, 10.1017/CBO9780511813658