Small-noise limit of the quasi-Gaussian log-normal HJM model

DOI10.1016/j.orl.2016.10.012zbMath1409.60102arXiv1908.07098OpenAlexW2548622653MaRDI QIDQ1727938

Lingjiong Zhu, Dan Pirjol

Publication date: 21 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.07098

zbMATH Keywords

stochastic modelingordinary differential equationsexplosionHJM model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Ordinary differential equations and systems with randomness (34F05)

Related Items (1)

Explosion in the quasi-Gaussian HJM model

Cites Work

• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Financial Derivatives in Theory and Practice
• On Gronwall's Inequality

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