Forward-backward SDEs and the CIR model

DOI10.1016/J.SPL.2007.04.007MaRDI QIDQ2471244zbMATH OpenOpenAlexFDO

Authors Cody Blaine Hyndman

Publication date 22 February 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.04.007

zbMATH Keywords

Bond priceCIR modelforward-backward stochastic differential equationsRiccati equations

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A general characterization of one factor affine term structure models
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward Stochastic Differential Equations in Finance
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• Linear forward-backward stochastic differential equations
• Stochastic flows and the forward measure
• The Riccati equation in mathematical finance.

Cited in

(10)

• On backward Kolmogorov equation related to CIR process
• A forward-backward SDE approach to affine models
• Singular forward-backward stochastic differential equations and emissions derivatives
• scientific article; zbMATH DE number 3872401 (Why is no real title available?)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• A BSDE approach for bond pricing under interest rate models with self-exciting jumps
• On CIR Equations with General Factors
• Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
• A Feynman-Kac type formula for a fixed delay CIR model
• Semimartingale dynamics for a backward exchange rate process

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