Some results on strong solutions of SDEs with applications to interest rate models

DOI10.1016/J.SPA.2006.09.011MaRDI QIDQ885261zbMATH OpenOpenAlexFDO

Authors Johannes Wissel

Publication date 8 June 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.09.011

zbMATH Keywords

strong solutionsLipschitz conditionsSDEsHJM interest rate modelsterm structure models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A market model for stochastic implied volatility
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Calcul stochastique et problèmes de martingales
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Stochastic Equations in Infinite Dimensions
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

Cited in

(6)

• Arbitrage-free market models for option prices: the multi-strike case
• Explosion in the quasi-Gaussian HJM model
• A stability result for the HARA class with stochastic interest rates.
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• A coupled stochastic differential model in finance under local Lipschitz nonlinearity
• Energy methods for stochastic differential equations

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