Shu L. Chiang, Ming S. Tsai, “Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model”, Int Rev Finance, 19, № 3, 2019, 613
Alberto Bueno-Guerrero, Manuel Moreno, Javier F. Navas, “Malliavin Calculus for Stochastic Strings with Applications To Barrier Options and Optimal Portfolios”, SSRN Journal, 2017
Shih-Kuei Lin, Shin-Yun Wang, Carl R. Chen, Lian-Wen Xu, “Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks”, The North American Journal of Economics and Finance, 42, 2017, 359
Pavel V. Gapeev, Uwe Küchler, “On Markovian short rates in term structure models driven by jump-diffusion processes”, Statistics & Decisions, 24, № 2, 2006, 255
Claudia Ceci, Katia Colaneri, Alessandra Cretarola, “A benchmark approach to risk-minimization under partial information”, Insurance: Mathematics and Economics, 55, 2014, 129
Kamil Kladívko, Mihail Zervos, “Mean–variance hedging of contingent claims with random maturity”, Mathematical Finance, 33, № 4, 2023, 1213
Morten Mosegaard Christensen, Eckhard Platen, “A General Benchmark Model for Stochastic Jump Sizes”, Stochastic Analysis and Applications, 23, № 5, 2005, 1017
Carl Chiarella, Samuel Chege Maina, Christina Nikitipoulos Sklibosios, “Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility”, SSRN Journal, 2010
Francesca Biagini, Encyclopedia of Quantitative Finance, 2010
Beyna Ingo, Carl Chiarella, Boda Kang, “Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time”, SSRN Journal, 2012