1. Coupling methods and exponential ergodicity for two‐factor affine processes. (2023). Wang, Jian ; Bao, Jianhai.
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2. Classification and calibration of affine models driven by independent L\evy processes. (2023). Lochowski, Rafal ; Barski, Michal.
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3. Markov-modulated affine processes. (2022). Frey, Rudiger ; Kurt, Kevin.
   In: Stochastic Processes and their Applications.
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4. Affine pure-jump processes on positive Hilbert–Schmidt operators. (2022). Karbach, Sven ; Cox, Sonja ; Khedher, Asma.
   In: Stochastic Processes and their Applications.
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5. An infinite‐dimensional affine stochastic volatility model. (2022). Karbach, Sven ; Cox, Sonja ; Khedher, Asma.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:32:y:2022:i:3:p:878-906.

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6. Consistent Recalibration Models and Deep Calibration. (2021). Gambara, Matteo ; Teichmann, Josef.
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7. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Scotti, S ; Toscano, G.
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8. Regime switching affine processes with applications to finance. (2020). Spreij, Peter ; Beek, Misha ; Mandjes, Michel ; Winands, Erik.
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9. Geometric ergodicity of affine processes on cones. (2020). Stelzer, Robert ; Vestweber, Johanna ; Mayerhofer, Eberhard.
   In: Stochastic Processes and their Applications.
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10. Linearized filtering of affine processes using stochastic Riccati equations. (2020). Gonon, Lukas ; Teichmann, Josef.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:130:y:2020:i:1:p:394-430.

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11. Infinite dimensional affine processes. (2020). Yu, Weijun ; Schmidt, Thorsten ; Tappe, Stefan.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:130:y:2020:i:12:p:7131-7169.

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12. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Scotti, Simone ; Toscano, Giacomo.
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13. Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa.
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14. A characterization of Wishart processes and Wishart distributions. (2018). Graczyk, Piotr ; Maecki, Jacek ; Mayerhofer, Eberhard.
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15. Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa.
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16. Affine Processes on Symmetric Cones. (2016). Keller-Ressel, Martin ; Teichmann, Josef ; Mayerhofer, Eberhard ; Cuchiero, Christa.
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17. A general HJM framework for multiple yield curve modelling. (2016). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa.
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18. The affine inflation market models. (2015). Waldenberger, Stefan.
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19. Affine LIBOR models driven by real-valued affine processes. (2015). Muller, Wolfgang ; Waldenberger, Stefan.
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20. A general HJM framework for multiple yield curve modeling. (2015). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa.
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21. A general HJM framework for multiple yield curve modeling. (2014). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa.
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22. Ramsey Rule with Progressive utility and Long Term Affine Yields Curves. (2014). Hillairet, Caroline ; el Karoui, Nicole ; Mrad, Mohamed.
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23. Discrete Time Term Structure Theory and Consistent Recalibration Models. (2014). Teichmann, Josef ; Richter, Anja.
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24. The G\{a}rtner-Ellis theorem, homogenization, and affine processes. (2014). Teichmann, Josef ; Gulisashvili, Archil.
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1. A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar Anel, Marcos ; Gschnaidtner, Christoph.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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2. Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Tankov, Peter ; Krief, David ; Alfonsi, Aur'Elien.
   In: Papers.
   RePEc:arx:papers:1806.06883.

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3. LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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4. Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Sekine, Jun ; Hata, Hiroaki.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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5. Pricing vulnerable options with stochastic volatility. (2017). Wang, Xingchun ; Zhou, KE.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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6. Optimal portfolios when variances and covariances can jump. (2017). Weisheit, Stefan ; Branger, Nicole ; Muck, Matthias ; Seifried, Frank Thomas.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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7. Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Enrique, Villamor ; Pablo, Olivares.
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   RePEc:arx:papers:1711.10013.

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8. General Price Bounds for Guaranteed Annuity Options. (2017). Sabanis, Sotirios ; Bahl, Raj Kumari.
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9. INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS. (2016). Cont, Rama ; Wagalath, Lakshithe.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
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10. Stochastic covariance and dimension reduction in the pricing of basket options. (2016). Escobar Anel, Marcos ; Zagst, Rudi ; Krause, Daniel.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9119-x.

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11. Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?. (2016). Romo, Jacinto Marabel.
    In: Review of Derivatives Research.
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12. The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Grasselli, Martino ; Deelstra, Griselda ; van Weverberg, Christopher .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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13. On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

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14. Boundary-degenerate elliptic operators and Holder continuity for solutions to variational equations and inequalities. (2016). Paul M. N. Feehan, ; Pop, Camelia.
    In: Papers.
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15. Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient. (2015). Robertson, Scott ; Xing, Hao.
    In: LSE Research Online Documents on Economics.
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16. Fourier transform methods for pathwise covariance estimation in the presence of jumps. (2015). Teichmann, Josef ; Cuchiero, Christa.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:1:p:116-160.

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17. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. (2015). Asai, Manabu ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:436-446.

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18. Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield. (2015). Gnoatto, Alessandro ; Hartel, Maximilian ; Biagini, Francesca.
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19. Stochastic Skew in the Interest Rate Cap Market. (2014). Leung, Kwai S. ; Wong, Hoi Y..
    In: Journal of Futures Markets.
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20. Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model. (2014). Chung, Tsz-Kin ; Tanaka, Keiichi ; Nagashima, Kazuki.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:21:y:2014:i:4:p:351-396.

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21. Institutional Investors and the Dependence Structure of Asset Returns. (2014). Cont, Rama ; Wagalath, Lakshithe.
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22. Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models. (2014). Richter, Anja.
    In: Stochastic Processes and their Applications.
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23. Pricing range notes within Wishart affine models. (2014). DA FONSECA, José ; Grasselli, Martino.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:58:y:2014:i:c:p:193-203.

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24. Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Robertson, Scott ; Xing, Hao.
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25. Order Estimates for the Exact Lugannani-Rice Expansion. (2014). Kato, Takashi ; Yoshikawa, Kenichi ; Sekine, Jun.
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26. Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations. (2014). Paul M. N. Feehan, ; Pop, Camelia.
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27. The Wishart short rate model. (2014). Gnoatto, Alessandro.
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28. A Fractionally Integrated Wishart Stochastic Volatility Model. (2013). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
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29. Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2013). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
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30. Fire sales forensics: measuring endogenous risk. (2013). Wagalath, Lakshithe ; Cont, Rama.
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31. Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices. (2013). Kang, Wanmo.
    In: Stochastic Processes and their Applications.
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32. Density approximations for multivariate affine jump-diffusion processes. (2013). Schneider, Paul ; Mayerhofer, Eberhard ; Filipovi, Damir.
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    RePEc:eee:econom:v:176:y:2013:i:2:p:93-111.

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33. A flexible matrix Libor model with smiles. (2013). Gnoatto, Alessandro ; DA FONSECA, José ; Grasselli, Martino.
    In: Journal of Economic Dynamics and Control.
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34. Exact Simulation of Wishart Multidimensional Stochastic Volatility Model. (2013). Kang, Wanmo.
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35. An analytic multi-currency model with stochastic volatility and stochastic interest rates. (2013). Gnoatto, Alessandro ; Grasselli, Martino.
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36. Maximum principles for boundary-degenerate second-order linear elliptic differential operators. (2013). Paul M. N. Feehan, .
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37. The explicit Laplace transform for the Wishart process. (2013). Gnoatto, Alessandro ; Grasselli, Martino.
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38. Path properties and regularity of affine processes on general state spaces. (2013). Teichmann, Josef ; Cuchiero, Christa.
    In: Papers.
    RePEc:arx:papers:1107.1607.

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39. Fire Sales Forensics: Measuring Endogenous Risk. (2012). Wagalath, Lakshithe ; Cont, Rama.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00697224.

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40. Keep on smiling? The pricing of Quanto options when all covariances are stochastic. (2012). Branger, Nicole ; Muck, Matthias.
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    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1577-1591.

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41. A flexible matrix Libor model with smiles. (2012). Gnoatto, Alessandro ; DA FONSECA, José ; Grasselli, Martino ; Jos'e Da Fonseca, .
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42. Two Stochastic Volatility Processes - American Option Pricing. (2011). Ziveyi, Jonathan ; Chiarella, Carl.
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43. The Evaluation of Early Exercise Exotic Options. (2011). Ziveyi, Jonathan.
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44. A dynamic copula approach to recovering the index implied volatility skew. (2011). Fengler, Matthias ; Herwartz, Helmut ; Werner, Christian.
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45. On strong solutions for positive definite jump diffusions. (2011). Stelzer, Robert ; Pfaffel, Oliver ; Mayerhofer, Eberhard.
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46. Existence, uniqueness, and global regularity for degenerate elliptic obstacle problems in mathematical finance. (2011). Paul M. N. Feehan, ; Daskalopoulos, Panagiota .
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47. Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Mayerhofer, Eberhard ; Damir Filipovi'c, .
    In: Papers.
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48. Affine processes on positive semidefinite matrices. (2011). Teichmann, Josef ; Mayerhofer, Eberhard ; Damir Filipovi'c, ; Cuchiero, Christa.
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49. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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50. Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino.
    In: Review of Derivatives Research.
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