Randomised mixture models for pricing kernels

DOI10.1007/S10690-014-9186-7zbMath1368.91176arXiv1112.2059OpenAlexW2043635676WikidataQ59400266 ScholiaQ59400266MaRDI QIDQ2398578

Priyanka A. Parbhoo, Andrea Macrina

Publication date: 16 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2059

zbMATH Keywords

asset pricingMarkov processesinterest ratesyield curvesEsscher martingalesweighted heat kernels

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Heat kernel (35K08)

Related Items (2)

Lévy random bridges and the modelling of financial information ⋮ Rational multi-curve models with counterparty-risk valuation adjustments

Uses Software

• sde

Cites Work

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