AFFINE LATTICE MODELS

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

zbMATH Keywords

birth and death processes; discretization scheme; affine models; Interest rate models

Mathematics Subject Classification ID

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