A cross-currency Lévy market model

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Cite
Eberlein, Ernst, and Nataliya Koval. “A Cross-Currency Lévy Market Model”. Quantitative Finance, vol. 6, no. 6, 2006, pp. 465-80, https://doi.org/10.1080/14697680600818791.
Eberlein, E., & Koval, N. (2006). A cross-currency Lévy market model. Quantitative Finance, 6(6), 465-480. https://doi.org/10.1080/14697680600818791
Eberlein E, Koval N. A cross-currency Lévy market model. Quantitative Finance. 2006;6(6):465-80.
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Refrences
Title Journal Journal Categories Citations Publication Date
10.21314/JCF.2005.158 2006
10.1007/978-3-662-02619-9 1990
10.1007/978-3-662-04553-4 2001
10.1007/978-3-662-22132-7 1997
10.1007/978-3-662-02514-7 1987
Citations
Title Journal Journal Categories Citations Publication Date
CBI-time-changed Lévy processes for multi-currency modeling

 Annals of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
  • Technology: Engineering (General). Civil engineering (General)
 2022
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2 2020
About Long-Term Cross-Currency Bermuda Swaption Pricing Computational Economics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2019
Pricing cross-currency interest rate swaps under the Levy market model Review of Derivatives Research
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2 2018
Stochastic Interest Rate Modeling: An Empirical Performance Analysis of the L vy Forward Price Model SSRN Electronic Journal 2018
Citations Analysis
Category Category Repetition
Science: Mathematics8
Social Sciences: Finance7
Social Sciences: Economic theory. Demography: Economics as a science7
Social Sciences: Commerce: Business7
Social Sciences: Statistics5
Science: Mathematics: Probabilities. Mathematical statistics2
Technology: Manufactures: Production management. Operations management2
Technology: Engineering (General). Civil engineering (General)2
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Commerce: Business: Personnel management. Employment management1
The category Science: Mathematics 8 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled The Lévy Swap Market Model and was published in 2007. The most recent citation comes from a 2022 study titled CBI-time-changed Lévy processes for multi-currency modeling. This article reached its peak citation in 2018, with 2 citations. It has been cited in 12 different journals. Among related journals, the SSRN Electronic Journal cited this research the most, with 4 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year