An alternative approach on the existence of affine realizations for HJM term structure models.

DOI10.1098/RSPA.2009.0493zbMATH Open1211.60027arXiv1907.03256OpenAlexW2136308442MaRDI QIDQ2997301FDOQ2997301

Authors: Stefan Tappe 

Publication date: 6 May 2011

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Abstract: We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insights into the geometry of term structure models.

Full work available at URL: https://arxiv.org/abs/1907.03256

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zbMATH Keywords

invariant foliationsRiccati equationsaffine realizationsgeometry of interest rate models

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Infinite-dimensional random dynamical systems; stochastic equations (37L55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• On the geometry of the term structure of interest rates
• Interest rates and information geometry

Cited In (11)

• Representation of infinite-dimensional forward price models in commodity markets
• Foundations of the theory of semilinear stochastic partial differential equations
• Optimal portfolios in commodity futures markets
• Affine realizations with affine state processes for stochastic partial differential equations
• Viability for coupled SDEs driven by fractional Brownian motion
• THE CARMA INTEREST RATE MODEL
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• Invariance of closed convex cones for stochastic partial differential equations
• Real-World Forward Rate Dynamics With Affine Realizations
• Wong–Zakai approximations with convergence rate for stochastic partial differential equations

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