1. SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates. (2024). Schlogl, Erik ; Gellert, Karol ; Brace, Alan.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:6:p:936-985.

   Full description at Econpapers || Download paper

2. Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol.
   In: Papers.
   RePEc:arx:papers:2101.04308.

   Full description at Econpapers || Download paper

3. Term structure modelling for multiple curves with stochastic discontinuities. (2020). Grbac, Zorana ; Schmidt, Thorsten ; Gumbel, Sandrine ; Fontana, Claudio.
   In: Post-Print.
   RePEc:hal:journl:hal-03898927.

   Full description at Econpapers || Download paper

4. Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine.
   In: Risks.
   RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196.

   Full description at Econpapers || Download paper

5. Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine.
   In: Papers.
   RePEc:arx:papers:2004.07736.

   Full description at Econpapers || Download paper

6. Term structure modeling for multiple curves with stochastic discontinuities. (2019). Grbac, Zorana ; Schmidt, Thorsten ; Gumbel, Sandrine ; Fontana, Claudio.
   In: Papers.
   RePEc:arx:papers:1810.09882.

   Full description at Econpapers || Download paper

7. Time-inhomogeneous polynomial processes. (2018). Schmidt, Thorsten ; del Carmen, Mar'Ia Fernanda.
   In: Papers.
   RePEc:arx:papers:1806.03887.

   Full description at Econpapers || Download paper

1. Bélanger, A., Shreve, S. E. and Wong, D. (2004), ‘A general framework for pricing credit risk’, Mathematical Finance 14(3), 317–350.

2. Cuchiero, C., Filipović, D., Mayerhofer, E. and Teichmann, J. (2011), ‘Affine processes on positive semidefinite matrices’, Annals of Applied Probability 21(2), 397–463.

3. Cuchiero, C., Keller-Ressel, M., Mayerhofer, E. and Teichmann, J. (2016), ‘Affine processes on symmetric cones’, Journal of Theoretical Probability 29(2), 359–422.
   Paper not yet in RePEc: Add citation now
   
4. Daniell, P. J. (1918), ‘Differentiation with respect to a function of limited variation’, Transactions of the American Mathematical Society 4(19), 353–362.
   Paper not yet in RePEc: Add citation now
   
5. Das, P. C. and Sharma, R. R. (1972), ‘Existence and stability of measure differential equations’, Czechoslovak Mathematical Journal 22(1), 145 – 158.
   Paper not yet in RePEc: Add citation now
   
6. Duffie, D. (2005), ‘Credit risk modeling with affine processes’, Journal of Banking & Finance 29(11), 2751 – 2802.
   Paper not yet in RePEc: Add citation now
   

7. Duffie, D. and Lando, D. (2001), ‘Term structures of credit spreads with incomplete accounting information’, Econometrica 69, 633–664. AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY 35

8. Duffie, D., Filipović, D. and Schachermayer, W. (2003), ‘Affine processes and applications in finance’, Annals of Applied Probability 13, 984–1053.
   Paper not yet in RePEc: Add citation now
   
9. Dupire, B. (2017), ‘Special techniques for special events’, https://fin-risks2017. sciencesconf.org/132142.
   Paper not yet in RePEc: Add citation now
   
10. Fama, E. F. (1970), ‘Efficient capital markets: A review of theory and empirical work’, The journal of Finance 25(2), 383–417.
    Paper not yet in RePEc: Add citation now
    
11. Filipović, D. (2005), ‘Time-inhomogeneous affine processes’, Stochastic Processes and their Applications 115(4), 639 – 659.
    Paper not yet in RePEc: Add citation now
    
12. Filipović, D. (2009), Term Structure Models: A Graduate Course, Springer Verlag. Berlin Heidelberg New York.
    Paper not yet in RePEc: Add citation now
    

13. Fontana, C. and Schmidt, T. (2017), ‘General dynamic term structures under default risk’, Stochastic Processes and Applications, in press .

14. Gehmlich, F. and Schmidt, T. (2018), ‘Dynamic defaultable term structure modelling beyond the intensity paradigm’, Mathematical Finance 28(1), 211–239.
    Paper not yet in RePEc: Add citation now
    
15. Geske, R. and Johnson, H. E. (1984), ‘The valuation of corporate liabilities as compound options: A correction’, Journal of Financial and Quantitative Analysis 19(2), 231–232.
    Paper not yet in RePEc: Add citation now
    
16. Gil, M. (2007), Difference equations in normed spaces: stability and oscillations, Vol. 206 of North-Holland Mathematics Studies, North-Holland.
    Paper not yet in RePEc: Add citation now
    
17. Heath, D., Jarrow, R. A. and Morton, A. J. (1992), ‘Bond pricing and the term structure of interest rates’, Econometrica 60, 77–105.
    Paper not yet in RePEc: Add citation now
    
18. Jacod, J. and Shiryaev, A. (2003), Limit Theorems for Stochastic Processes, 2nd edn, Springer Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
    

19. Johannes, M. (2004), ‘The statistical and economic role of jumps in continuous-time interest rate models’, The Journal of Finance 59(1), 227–260.

20. Kallenberg, O. (2002), Foundations of modern probability, Probability and its Applications (New York), second edn, Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now
    
21. Keller-Ressel, M. (2011), ‘Moment explosions and long-term behavior of affine stochastic volatility models’, Mathematical Finance 21(1), 73–98.
    Paper not yet in RePEc: Add citation now
    
22. Keller-Ressel, M., Papapantoleon, A. and Teichmann, J. (2013), ‘The affine LIBOR models’, Mathematical Finance 23(4), 627–658.
    Paper not yet in RePEc: Add citation now
    

23. Kim, D. H. and Wright, J. H. (2014), Jumps in bond yields at known times, Technical report, National Bureau of Economic Research.

24. Lintner, J. (1956), ‘Distribution of incomes of corporations among dividends, retained earnings, and taxes’, The American Economic Review pp. 97–113.
    Paper not yet in RePEc: Add citation now
    

25. Merton, R. (1974), ‘On the pricing of corporate debt: the risk structure of interest rates’, Journal of Finance 29, 449–470.

26. Miller, M. H. and Modigliani, F. (1961), ‘Dividend policy, growth, and the valuation of shares’, The Journal of Business 34(4), pp. 411–433.
    Paper not yet in RePEc: Add citation now
    
27. Miller, M. H. and Rock, K. (1985), ‘Dividend policy under asymmetric information’, The Journal of Finance 40(4), pp. 1031–1051.
    Paper not yet in RePEc: Add citation now
    

28. Piazzesi, M. (2001), ‘An econometric model of the yield curve with macroeconomic jump effects’, NBER working paper 8246 .

29. Piazzesi, M. (2005), ‘Bond yields and the federal reserve’, Journal of Political Economy 113(2), 311–344.
    Paper not yet in RePEc: Add citation now
    
30. Piazzesi, M. (2010), ‘Affine term structure models’, Handbook of financial econometrics 1, 691–766.
    Paper not yet in RePEc: Add citation now
    
31. Protter, P. (2004), Stochastic Integration and Differential Equations, 2nd edn, Springer Verlag. Berlin Heidelberg New York.
    Paper not yet in RePEc: Add citation now
    
32. Richter, A. and Teichmann, J. (2017), ‘Discrete time term structure theory and consistent recalibration models’, SIAM Journal on Financial Mathematics 8(1), 504–531. 36 M. KELLER-RESSEL, T. SCHMIDT, AND R. WARDENGA
    Paper not yet in RePEc: Add citation now
    
33. Sato, K.-I. (1999), Lévy Processes and Infinitely Divisible Distributions, Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    
34. Sharma, R. R. (1972), ‘An abstract measure differential equation’, Proceedings of the American Mathematical Society 32(2), 503–510.
    Paper not yet in RePEc: Add citation now
    
35. Veraar, M. (2012), ‘The stochastic Fubini theorem revisited’, Stochastics 84(4), 543– 551. Albert-Ludwigs University of Freiburg, Ernst-Zermelo-Str. 1, 79104 Freiburg, Freiburg Research Institute of Advanced Studies (FRIAS), Germany, and University of Strasbourg Institute for Advanced Study (USIAS), France. E-mail address: Thorsten.Schmidt@stochastik.uni-freiburg.de Dresden University of Technology, Zellescher Weg 12-14, 01069 Dresden, Germany. E-mail address: Martin.Keller-Ressel@tu-dresden.de E-mail address: Robert.Wardenga@tu-dresden.de
    Paper not yet in RePEc: Add citation now
    

1. Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

   Full description at Econpapers || Download paper

2. Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon. (2024). Choulli, T ; Alsheyab, S.
   In: Papers.
   RePEc:arx:papers:2408.04758.

   Full description at Econpapers || Download paper

3. Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon. (2024). Choulli, Tahir ; Lepinette, Emmanuel.
   In: Papers.
   RePEc:arx:papers:2401.05713.

   Full description at Econpapers || Download paper

4. Mean Field Game of Optimal Relative Investment with Jump Risk. (2023). Yu, Xiang ; Wang, Shihua ; Bo, Lijun.
   In: Papers.
   RePEc:arx:papers:2108.00799.

   Full description at Econpapers || Download paper

5. Representation for martingales living after a random time with applications. (2022). Choulli, Tahir ; Alharbi, Ferdoos.
   In: Papers.
   RePEc:arx:papers:2203.11072.

   Full description at Econpapers || Download paper

6. Defaultable term structures driven by semimartingales. (2021). Schmidt, Thorsten ; Gumbel, Sandrine.
   In: Papers.
   RePEc:arx:papers:2103.01577.

   Full description at Econpapers || Download paper

7. A martingale representation theorem and valuation of defaultable securities. (2020). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564.

   Full description at Econpapers || Download paper

8. Default Ambiguity. (2019). Fadina, Tolulope ; Schmidt, Thorsten.
   In: Risks.
   RePEc:gam:jrisks:v:7:y:2019:i:2:p:64-:d:238522.

   Full description at Econpapers || Download paper

9. General dynamic term structures under default risk. (2018). Schmidt, Thorsten ; Fontana, Claudio.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386.

   Full description at Econpapers || Download paper

10. Affine processes beyond stochastic continuity. (2018). Schmidt, Thorsten ; Wardenga, Robert ; Keller-Ressel, Martin.
    In: Papers.
    RePEc:arx:papers:1804.07556.

    Full description at Econpapers || Download paper

11. Optimal Credit Investment with Borrowing Costs. (2017). Bo, Lijun ; Capponi, Agostino.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:42:y:2017:i:2:p:546-575.

    Full description at Econpapers || Download paper

12. Robust Optimization of Credit Portfolios. (2017). Bo, Lijun ; Capponi, Agostino.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:42:y:2017:i:1:p:30-56.

    Full description at Econpapers || Download paper

13. General dynamic term structures under default risk. (2017). Schmidt, Thorsten ; Fontana, Claudio.
    In: Papers.
    RePEc:arx:papers:1603.03198.

    Full description at Econpapers || Download paper

14. Arbitrage-Free XVA. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1608.02690.

    Full description at Econpapers || Download paper

15. Robust Optimization of Credit Portfolios. (2016). Bo, Lijun ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1603.08169.

    Full description at Econpapers || Download paper

16. Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples. (2016). Sturm, Stephan ; Bichuch, Maxim ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1501.05893.

    Full description at Econpapers || Download paper

17. Dynamic credit investment in partially observed markets. (2015). Pascucci, Andrea ; Figueroa-Lopez, Jose ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:4:p:891-939.

    Full description at Econpapers || Download paper

18. A generalized intensity based framework for single-name credit risk. (2015). Schmidt, Thorsten ; Gehmlich, Frank.
    In: Papers.
    RePEc:arx:papers:1512.03896.

    Full description at Econpapers || Download paper

19. Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm. (2015). Schmidt, Thorsten ; Gehmlich, Frank.
    In: Papers.
    RePEc:arx:papers:1411.4851.

    Full description at Econpapers || Download paper

20. Pricing vulnerable claims in a Lévy-driven model. (2014). Vargiolu, Tiziano ; Pagliarani, Stefano ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:4:p:755-789.

    Full description at Econpapers || Download paper

21. Bilateral credit valuation adjustment for large credit derivatives portfolios. (2014). Bo, Lijun ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:2:p:431-482.

    Full description at Econpapers || Download paper

22. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146.

    Full description at Econpapers || Download paper

23. Dynamic Credit Investment in Partially Observed Markets. (2014). Pascucci, Andrea ; Jose Enrique Figueroa Lopez, ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1303.2950.

    Full description at Econpapers || Download paper

24. Optimal Investment and Consumption with Default Risk: HARA Utility. (2013). YANG, Xuewei ; Bo, Lijun ; Wang, Yongjin ; Li, Xindan.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:3:p:261-281.

    Full description at Econpapers || Download paper

25. Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Vidal Nunes, João Pedro, ; Dias, Jose Carlos ; Ruas, Joo Pedro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072.

    Full description at Econpapers || Download paper

26. Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (2013). Bo, Lijun ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1305.5575.

    Full description at Econpapers || Download paper

27. Subprime mortgage default. (2011). keenan, donald ; Kau, James ; Lyubimov, Constantine ; Slawson, Carlos V..
    In: Journal of Urban Economics.
    RePEc:eee:juecon:v:70:y:2011:i:2-3:p:75-87.

    Full description at Econpapers || Download paper

28. Credit Risk Models with Incomplete Information. (2009). Jarrow, Robert ; Zeng, Yan ; Guo, Xin.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:34:y:2009:i:2:p:320-332.

    Full description at Econpapers || Download paper

Report date: 2025-09-20 20:17:02 || Missing content? Let us know