AFFINE LATTICE MODELS

DOI10.1142/S0219024905002986zbMath1088.60086OpenAlexW2075174901MaRDI QIDQ4675935

Alexey Kuznetsov, Claudio Albanese

Publication date: 6 May 2005

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

Full work available at URL: https://doi.org/10.1142/s0219024905002986

zbMATH Keywords

birth and death processesdiscretization schemeaffine modelsInterest rate models

Mathematics Subject Classification ID

Applications of branching processes (60J85) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (6)

Non-local solvable birth-death processes ⋮ A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Fractional immigration-death processes ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING ⋮ On the transient behaviour of fractional \(M/M/\infty\) queues

Cites Work

• LIBOR and swap market models and measures
• A Theory of the Term Structure of Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Interest rate volatility and the shape of the term structure
• An equilibrium characterization of the term structure
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Estimation of affine asset pricing models using the empirical characteristic function
• A general characterization of one factor affine term structure models

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