ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL

DOI10.1111/j.1467-9965.2012.00527.xzbMath1286.91135OpenAlexW1943360833MaRDI QIDQ2851559

Andrea Gombani, Wolfgang J. Runggaldier

Publication date: 11 October 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00527.x

zbMATH Keywords

stochastic controlbond option pricingmultifactor term structure

Mathematics Subject Classification ID

Related Items (4)

Optimal Cross-Border Electricity Trading ⋮ A stochastic control perspective on term structure models with roll-over risk ⋮ Stochastic Control and Pricing Under Swap Measures ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Arbitrage Theory in Continuous Time

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