STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING

DOI10.1111/J.0960-1627.2005.00209.XMaRDI QIDQ5464334zbMATH OpenOpenAlexFDO

Authors Shin Ichi Aihara, Arunabha Bagchi

Publication date 17 August 2005

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2005.00209.x

zbMATH Keywords

completenessEuropean options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Bond Market Structure in the Presence of Marked Point Processes
• Stochastic Equations in Infinite Dimensions
• Towards a general theory of bond markets

Cited in

(22)

• Stochastic string models with continuous semimartingales
• Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration
• A theory of stochastic integration for bond markets
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Infinite dimensional diffusions, Kolmogorov equations and interest rate models
• On incompleteness of bond markets with infinite number of random factors
• Parameter estimation for SPDEs with multiplicative fractional noise
• Identification of affine term structures from yield curve data
• Modeling the term structure of forward rate curve by wave-typed SPDEs
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
• scientific article; zbMATH DE number 1507175 (Why is no real title available?)
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• On mean-variance hedging of bond options with stochastic risk premium factor
• Approximation and application of the Musiela stochastic PDE in forward rate models
• Bond market completeness under stochastic strings with distribution-valued strategies
• Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
• Shape factors and cross-sectional risk
• Interest rate modeling with generalized Langevin equations
• Revisiting elastic string models of forward interest rates
• On a stochastic heat equation with first order fractional noises and applications to finance
• A note on arbitrage in term structure

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