Long-term yield in an affine HJM framework on S_d^+
DOI10.1007/S00245-016-9379-8zbMATH Open1416.91383OpenAlexW3122714632MaRDI QIDQ722068FDOQ722068
Authors: Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel 
Publication date: 20 July 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9379-8
Recommendations
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (5)
- Affine realizations with affine state processes for stochastic partial differential equations
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- General analysis of long-term interest rates
- Geometric ergodicity of affine processes on cones
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
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