HEAT KERNEL MODELS FOR ASSET PRICING

DOI10.1142/S0219024914500484zbMath1336.91088arXiv1211.0856MaRDI QIDQ2941066

Andrea Macrina

Publication date: 21 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0856

zbMATH Keywords

asset pricingMarkov processesinterest ratesequitydebtcontagionpricing kernelLévy random bridgesspread dynamics

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Heat kernel (35K08)

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Stochastic modelling with randomized Markov bridges, Rational Models for Inflation-Linked Derivatives, ALGORITHMIC TRADING WITH LEARNING, POLYNOMIAL TERM STRUCTURE MODELS, Rational multi-curve models with counterparty-risk valuation adjustments

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