MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

By Paul Glasserman, Kyoung-Kuk Kim. 2010

59 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2d67b4d885c8aa626c4c179ec1dc095158d30c9d

How researchers see this paper

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In Finance

1. Eberhard Mayerhofer
2. Damir Filipovi'c
3. Jan Kallsen
4. Martin Keller‐Ressel
5. Martino Grasselli
6. Claudio Tebaldi
7. Ales Cerný

Citations in the corpus

• Affine Diffusion Processes: Theory and Applications (2009, methodology): “Hence the assumptions in Glasserman and Kim [17] are not met.”