Sup-convolutions of HARA utilities in the affine term structure

DOI10.1007/S10203-005-0054-9MaRDI QIDQ816443zbMATH OpenOpenAlexFDO

Authors Martino Grasselli

Publication date 9 March 2006

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-005-0054-9

Mathematics Subject Classification ID

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Cites work

• A stability result for the HARA class with stochastic interest rates.
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Affine processes and applications in finance
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Optimal investment strategies in a CIR framework

Cited in

(1)

• Utility maximization in affine stochastic volatility models

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