Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
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Publication:722068
DOI10.1007/S00245-016-9379-8zbMath1416.91383OpenAlexW3122714632MaRDI QIDQ722068
Francesca Biagini, Maximilian Härtel, Alessandro Gnoatto
Publication date: 20 July 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9379-8
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (4)
Affine realizations with affine state processes for stochastic partial differential equations ⋮ Geometric ergodicity of affine processes on cones ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
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