Affine term-structure models with delays

MaRDI QIDQ4980582zbMATH OpenFDO

Authors Lian Tang, Zhiyin Chen

Publication date 30 June 2014

zbMATH Keywords

affine term-structure modelsstochastic delay differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• Stochastic Jacobians in affine term-structure models: a local property
• Hybrid term structure models
• A Feynman-Kac type formula for a fixed delay CIR model
• Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models
• Long memory affine term structure models

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