Time-inhomogeneous affine processes
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Publication:2485845
DOI10.1016/j.spa.2004.11.006zbMath1079.60068OpenAlexW2119998039MaRDI QIDQ2485845
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/148498/files/Time-Inhomogeneous%20Affine%20Processes.pdf
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Cites Work
- Semigroups of linear operators and applications to partial differential equations
- Affine processes and applications in finance
- Ordinary differential equations. An introduction to nonlinear analysis. Transl. from the German by Gerhard Metzen
- On the geometry of the term structure of interest rates
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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