Sup-convolutions of HARA utilities in the affine term structure

DOI10.1007/S10203-005-0054-9zbMath1136.91435OpenAlexW2045263785MaRDI QIDQ816443

Martino Grasselli

Publication date: 9 March 2006

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-005-0054-9

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• A stability result for the HARA class with stochastic interest rates.
• Affine processes and applications in finance
• Optimal investment strategies in a CIR framework
• A YIELD‐FACTOR MODEL OF INTEREST RATES

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