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

DOI10.1016/j.spa.2006.09.011zbMath1115.60062OpenAlexW2038471468MaRDI QIDQ885261

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

term structure modelsstrong solutionsLipschitz conditionsSDEsHJM interest rate models

Mathematics Subject Classification ID

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

Related Items

Explosion in the quasi-Gaussian HJM model ⋮ TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS ⋮ Arbitrage-free market models for option prices: the multi-strike case

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Interest rate models: an infinite dimensional stochastic analysis perspective
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A market model for stochastic implied volatility
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions