Some results on strong solutions of SDEs with applications to interest rate models
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Publication:885261
DOI10.1016/J.SPA.2006.09.011zbMATH Open1115.60062OpenAlexW2038471468MaRDI QIDQ885261FDOQ885261
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
Recommendations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Stochastic Equations in Infinite Dimensions
- Title not available (Why is that?)
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- Interest rate models: an infinite dimensional stochastic analysis perspective
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- Consistency problems for Heath-Jarrow-Morton interest rate models
- Calcul stochastique et problèmes de martingales
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- A market model for stochastic implied volatility
Cited In (6)
- Arbitrage-free market models for option prices: the multi-strike case
- Energy methods for stochastic differential equations
- Explosion in the quasi-Gaussian HJM model
- A stability result for the HARA class with stochastic interest rates.
- A coupled stochastic differential model in finance under local Lipschitz nonlinearity
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
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