On the relation between linearity‐generating processes and linear‐rational models

DOI10.1111/mafi.12198zbMath1440.91038arXiv1806.03153OpenAlexW3122700329WikidataQ129164129 ScholiaQ129164129MaRDI QIDQ5241563

Anders B. Trolle, Martin Larsson, Damir Filipović

Publication date: 31 October 2019

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

Full work available at URL: https://arxiv.org/abs/1806.03153

zbMATH Keywords

linear asset priceslinear-rational modelslinearity-generating processes

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Cointegration in continuous time for factor models ⋮ Polynomial diffusions and applications in finance ⋮ Long-term factorization of affine pricing kernels ⋮ Rational multi-curve models with counterparty-risk valuation adjustments

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