STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING

DOI10.1111/j.0960-1627.2005.00209.xzbMath1113.91016OpenAlexW3125794713MaRDI QIDQ5464334

Arunabha Bagchi, Shin Ichi Aihara

Publication date: 17 August 2005

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00209.x

zbMATH Keywords

completenessEuropean options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Bond market completeness under stochastic strings with distribution-valued strategies ⋮ Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting ⋮ Kernel-correlated Lévy field driven forward rate and application to derivative pricing ⋮ Shape factors and cross-sectional risk ⋮ On mean-variance hedging of bond options with stochastic risk premium factor ⋮ A note on arbitrage in term structure ⋮ Approximation and application of the Musiela stochastic PDE in forward rate models ⋮ Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation ⋮ ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS ⋮ IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA ⋮ A theory of stochastic integration for bond markets ⋮ On a stochastic heat equation with first order fractional noises and applications to finance ⋮ PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE

Cites Work

• Towards a general theory of bond markets
• Bond Market Structure in the Presence of Marked Point Processes
• Stochastic Equations in Infinite Dimensions

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