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

DOI10.1098/rspa.2009.0493zbMath1211.60027arXiv1907.03256OpenAlexW2136308442MaRDI QIDQ2997301

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)

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

zbMATH Keywords

Riccati equationsinvariant foliationsaffine realizationsgeometry of interest rate models

Mathematics Subject Classification ID

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

Related Items (11)

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

Cites Work

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

This page was built for publication: An alternative approach on the existence of affine realizations for HJM term structure models