PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

DOI10.1111/j.1467-9965.2005.00226.xzbMath1137.91458arXivcond-mat/0212249OpenAlexW2538176199MaRDI QIDQ5692936

Sergei Levendorskii

Publication date: 28 September 2005

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0212249

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; economic indices and measures (91B82)

Related Items (5)

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS ⋮ Risk-sensitive control for a class of nonlinear systems with multiplicative noise ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates? ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

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