Mesias Alfeus

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All published works

Action	Title	Year	Authors
+ PDF Chat	A consistent stochastic model of the term structure of interest rates for multiple tenors	2020	Mesias Alfeus Martino Grasselli Erik Schlögl
+	A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors	2018	Mesias Alfeus Martino Grasselli Erik Schlögl
+	A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors	2018	Mesias Alfeus Martino Grasselli Erik Schlögl
+	Regime Switching Rough Heston Model	2017	Mesias Alfeus Ludger Overbeck
+ PDF Chat	A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors	2017	Mesias Alfeus Martino Grasselli Erik Schlögl
+	Heath–Jarrow–Morton models with jumps	2015	Mesias Alfeus

Common Coauthors

Coauthor	Papers Together
Erik Schlögl	4
Martino Grasselli	2
Martino Grasselli	2
Ludger Overbeck	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Parsimonious HJM modelling for multiple yield curve dynamics	2013	Nicola Moreni Andrea Pallavicini	3
+ PDF Chat	Polynomial diffusions and applications in finance	2016	Damir Filipović Martin Larsson	3
+ PDF Chat	Affine processes on positive semidefinite matrices	2011	Christa Cuchiero Damir Filipović Eberhard Mayerhofer Josef Teichmann	3
+	Wishart processes	1991	Marie-France Bru	2
+ PDF Chat	Consistent Valuation Across Curves Using Pricing Kernels	2018	Andrea Macrina Obeid Mahomed	2
+ PDF Chat	Analysis of Fourier Transform Valuation Formulas and Applications	2010	Ernst Eberlein Kathrin Glau Antonis Papapantoleon	1
+ PDF Chat	Perfect hedging in rough Heston models	2018	Omar El Euch Mathieu Rosenbaum	1
+ PDF Chat	How should a local regime-switching model be calibrated?	2017	Xin‐Jiang He Song‐Ping Zhu	1
+ PDF Chat	Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes	2016	Thibault Jaisson Mathieu Rosenbaum	1
+ PDF Chat	A characterization of hedging portfolios for interest rate contingent claims	2004	René Carmona Michael R. Tehranchi	1
+	The characteristic function of rough Heston models	2016	Omar El Euch Mathieu Rosenbaum	1
+	None	1997	Rainer Storn Kenneth V. Price	1
+	None	2002	Kai Diethelm Neville J. Ford Alan D. Freed	1
+	L�vy term structure models: No-arbitrage and completeness	2004	Ernst Eberlein Jean Jacod Sebastian Raible	1
+ PDF Chat	The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral	1961	J. G. Wendel	1
+	Regime switching volatility calibration by the Baum–Welch method	2010	Sovan Mitra Paresh Date	1
+ PDF Chat	Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves	2008	Marco Bianchetti	1