THE AFFINE RATIONAL POTENTIAL MODEL

DOI10.1142/S021902492150031XzbMath1491.91153OpenAlexW3200106689MaRDI QIDQ5061484

the Anh Nguyen, Frank Thomas Seifried

Publication date: 11 March 2022

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

Full work available at URL: https://doi.org/10.1142/s021902492150031x

zbMATH Keywords

exchange rateaffine processessupermartingalezero lower boundFlesaker-Hughston modelsPotential approachstate price deflator

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Rational term structure models with geometric Lévy martingales
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• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Arbitrage Theory in Continuous Time

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