Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062): Difference between revisions

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English	Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing	scientific article

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scholarly article

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title

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (English)

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13 May 2016

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full work available at URL

https://arxiv.org/abs/1411.3075

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zbMATH Keywords

asset pricing

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Markov processes

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MaRDI profile type

MaRDI publication profile

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cites work

Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

0 references

Q5572771

0 references

Q3150773

0 references

Examining macroeconomic models through the lens of asset pricing

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THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS

0 references

Semimartingales and Markov processes

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QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

0 references

A Theory of the Term Structure of Interest Rates

0 references

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

0 references

ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS

0 references

Implied savings accounts are unique

0 references

Q4794153

0 references

A YIELD‐FACTOR MODEL OF INTEREST RATES

0 references

Affine processes and applications in finance

0 references

Transform Analysis and Asset Pricing for Affine Jump-diffusions

0 references

Q5711199

0 references

A general characterization of one factor affine term structure models

0 references

Affine Diffusion Processes: Theory and Applications

0 references

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

0 references

Dirichlet forms and symmetric Markov processes.

0 references

Changes of numéraire, changes of probability measure and option pricing

0 references

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

0 references

INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL

0 references

Dynamic Valuation Decomposition Within Stochastic Economies

0 references

Long-Term Risk: An Operator Approach

0 references

Pricing growth-rate risk

0 references

Equilibrium Models With Singular Asset Prices

0 references

Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses

0 references

Generalized Second-Order Differential Operators, Corresponding Gap Diffusions and Superharmonic Transformations

0 references

Applications of Eigenfunction Expansions in Continuous-Time Finance

0 references

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

0 references

TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

0 references

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

0 references

Spectral Expansions for Asian (Average Price) Options

0 references

The spectral representation of Bessel processes with constant drift: applications in queueing and finance

0 references

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

0 references

Q2763689

0 references

TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS

0 references

Elementary Solutions for Certain Parabolic Partial Differential Equations

0 references

Pricing equity default swaps under the jump-to-default extended CEV model

0 references

MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS

0 references

Time-changed CIR default intensities with two-sided mean-reverting jumps

0 references

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

0 references

General Irreducible Markov Chains and Non-Negative Operators

0 references

A technique for exponential change of measure for Markov processes

0 references

The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

0 references

Recovery with Unbounded Diffusion Processes*

0 references

Quasi-stationarity and quasi-ergodicity of general Markov processes

0 references

Identifiers

zbMATH Open document ID

1338.90447

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DOI

10.1287/opre.2015.1449

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2806062

@@ Property / cites work @@
+Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
+Normal rank
@@ Property / cites work @@
+Q5572771
@@ Property / cites work: Q5572771 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+Examining macroeconomic models through the lens of asset pricing
+Normal rank
@@ Property / cites work @@
+THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+Semimartingales and Markov processes
@@ Property / cites work: Semimartingales and Markov processes / rank @@
+Normal rank
@@ Property / cites work @@
+QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
+Normal rank
@@ Property / cites work @@
+ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+Implied savings accounts are unique
@@ Property / cites work: Implied savings accounts are unique / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Q5711199
@@ Property / cites work: Q5711199 / rank @@
+Normal rank
@@ Property / cites work @@
+A general characterization of one factor affine term structure models
+Normal rank
@@ Property / cites work @@
+Affine Diffusion Processes: Theory and Applications
+Normal rank
@@ Property / cites work @@
+Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Dirichlet forms and symmetric Markov processes.
@@ Property / cites work: Dirichlet forms and symmetric Markov processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
+Normal rank
@@ Property / cites work @@
+INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
+Normal rank
@@ Property / cites work @@
+Dynamic Valuation Decomposition Within Stochastic Economies
+Normal rank
@@ Property / cites work @@
+Long-Term Risk: An Operator Approach
@@ Property / cites work: Long-Term Risk: An Operator Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing growth-rate risk
@@ Property / cites work: Pricing growth-rate risk / rank @@
+Normal rank
@@ Property / cites work @@
+Equilibrium Models With Singular Asset Prices
@@ Property / cites work: Equilibrium Models With Singular Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
+Normal rank
@@ Property / cites work @@
+Generalized Second-Order Differential Operators, Corresponding Gap Diffusions and Superharmonic Transformations
+Normal rank
@@ Property / cites work @@
+Applications of Eigenfunction Expansions in Continuous-Time Finance
+Normal rank
@@ Property / cites work @@
+Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
+Normal rank
@@ Property / cites work @@
+TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
+Normal rank
@@ Property / cites work @@
+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+The spectral representation of Bessel processes with constant drift: applications in queueing and finance
+Normal rank
@@ Property / cites work @@
+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
@@ Property / cites work: PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY / rank @@
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Elementary Solutions for Certain Parabolic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Pricing equity default swaps under the jump-to-default extended CEV model
+Normal rank
@@ Property / cites work @@
+MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Time-changed CIR default intensities with two-sided mean-reverting jumps
+Normal rank
@@ Property / cites work @@
+TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
+Normal rank
@@ Property / cites work @@
+General Irreducible Markov Chains and Non-Negative Operators
+Normal rank
@@ Property / cites work @@
+A technique for exponential change of measure for Markov processes
+Normal rank
@@ Property / cites work @@
+The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
+Normal rank
@@ Property / cites work @@
+Recovery with Unbounded Diffusion Processes*
@@ Property / cites work: Recovery with Unbounded Diffusion Processes* / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-stationarity and quasi-ergodicity of general Markov processes
+Normal rank