AFFINE LATTICE MODELS

DOI10.1142/S0219024905002986MaRDI QIDQ4675935zbMATH OpenOpenAlexFDO

Authors Claudio Albanese, Alexey Kuznetsov

Publication date 6 May 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905002986

zbMATH Keywords

affine modelsbirth and death processesdiscretization schemeInterest rate models

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Applications of branching processes (60J85)

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Cites work

• A general characterization of one factor affine term structure models
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Estimation of affine asset pricing models using the empirical characteristic function
• Interest rate volatility and the shape of the term structure
• LIBOR and swap market models and measures
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuing American options by simulation: a simple least-squares approach

Cited in

(10)

• Lattice chain models for affine buildings of classical type.
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• Fractional immigration-death processes
• On the transient behaviour of fractional \(M/M/\infty\) queues
• Non-local solvable birth-death processes
• On affine fusion and the phase model
• Regime-switching recombining tree for option pricing
• scientific article; zbMATH DE number 1031329 (Why is no real title available?)
• Continued Classification of 3D Lattice Walks in the Positive Octant
• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING

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