Stochastic Jacobian and Riccati ODE in affine term structure models
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Publication:2477604
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
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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- 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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