Stochastic Jacobian and Riccati ODE in affine term structure models

DOI10.1007/s10203-007-0071-yzbMath1154.60056OpenAlexW2015486277MaRDI QIDQ2477604

Claudio Tebaldi, Martino Grasselli

Publication date: 14 March 2008

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-007-0071-y

zbMATH Keywords

affine processRiccati ordinary differential equationstochastic Jacobian

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

A forward-backward SDE approach to affine models ⋮ Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

Cites Work

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• Affine processes and applications in finance
• A survey of nonsymmetric Riccati equations
• A Theory of the Term Structure of Interest Rates
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Interest rate volatility and the shape of the term structure
• Stochastic flows and the forward measure

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