A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

DOI10.1111/j.0960-1627.2005.00216.xzbMath1109.91018OpenAlexW3121983524MaRDI QIDQ5464341

Josef Teichmann

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.0960-1627.2005.00216.x

zbMATH Keywords

affine modelspot-price model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Unnamed Item
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions

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