scientific article; zbMATH DE number 1310348

MaRDI QIDQ4254409zbMATH OpenFDO

Authors Jirô Akahori

Publication date 20 February 2000

zbMATH Keywords

no-arbitrage interest rate modelstochastic integral equation

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Review text

Theorems are proved concerning the behavior of solutions of a stochastic integral equation of the form \[ X_t= x+\eta t+ \xi \int^t_0 \int^s_0 a(X_u) du ds+ \int^t_0 (a(X_s))^{1/2} dW_s. \] A no-arbitrage interest rate model that generalizes a model due to Ritchken and Sankarasubramanian is presented.

Recommendations

• Explosion in the quasi-Gaussian HJM model
• Stochastic models of financial mathematics
• Explosion and asymptotic behavior of nonlinear Itô type stochastic integrodifferential equations
• Some estimates on exponentials of solutions to stochastic differential equations

Cited in

(3)

• Explosion in the quasi-Gaussian HJM model
• Some estimates on exponentials of solutions to stochastic differential equations
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4254409)