Real-World Forward Rate Dynamics With Affine Realizations

DOI10.1080/07362994.2015.1019629zbMath1335.91094arXiv1907.05072OpenAlexW2962962067MaRDI QIDQ3448331

Eckhard Platen, Stefan Tappe

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.05072

zbMATH Keywords

market price of riskaffine realizationLévy driven interest rate modelreal-world forward rate dynamics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

Affine realizations with affine state processes for stochastic partial differential equations ⋮ Invariance of closed convex cones for stochastic partial differential equations

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