AFFINE LATTICE MODELS
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Publication:4675935
DOI10.1142/S0219024905002986zbMath1088.60086MaRDI QIDQ4675935
Alexey Kuznetsov, Claudio Albanese
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
60J85: Applications of branching processes
60J80: Branching processes (Galton-Watson, birth-and-death, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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Cites Work
- LIBOR and swap market models and measures
- A Theory of the Term Structure of Interest Rates
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Interest rate volatility and the shape of the term structure
- An equilibrium characterization of the term structure
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Estimation of affine asset pricing models using the empirical characteristic function
- A general characterization of one factor affine term structure models