A note of invariant measures for HJM models

DOI10.1007/S00780-004-0143-6MaRDI QIDQ2488486zbMATH OpenOpenAlexFDO

Authors Michael R. Tehranchi

Publication date 24 May 2006

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-004-0143-6

zbMATH Keywords

stochastic partial differential equationsterm structure of interest rates

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited in

(19)

• On a class of stochastic partial differential equations with multiple invariant measures
• Existence of Lévy term structure models
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
• Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
• On a stochastic heat equation with first order fractional noises and applications to finance
• The small and large time implied volatilities in the minimal market model
• Stochastic invariance and consistency of financial models
• Cointegration in continuous time for factor models
• Mean reversion for HJMM forward rate models
• Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
• A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
• The term structure of implied volatility in symmetric models with applications to Heston
• Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
• Growth bound for the shift semigroup on weighted Sobolev spaces
• Exponential moments for HJM models with jumps
• Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
• Invariant measures for multidimensional fractional stochastic volatility models
• Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models

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