A forward-backward SDE approach to affine models

DOI10.1007/s11579-009-0016-zzbMath1255.91437OpenAlexW2146415710MaRDI QIDQ1932521

Cody Blaine Hyndman

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-009-0016-z

zbMATH Keywords

bond pricestochastic flowsforward-backward stochastic differential equationsaffine modelsfutures priceforward price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Related Items (5)

A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

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