Discount models

DOI10.1007/s00780-023-00514-0zbMath1527.91169arXiv2306.16871OpenAlexW4387118668MaRDI QIDQ6074009

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Publication date: 12 October 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.16871

zbMATH Keywords

term structure modelsstochastic partial differential equationfactor modelsdiscountzero-coupon bonds

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Polynomial diffusions and applications in finance
• Term-structure models. A graduate course
• On the uniqueness of solutions of stochastic differential equations
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Arbitrage Theory in Continuous Time
• Unspanned stochastic volatility in the multifactor CIR model
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions

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