SOLVABLE AFFINE TERM STRUCTURE MODELS
type: Item
instance of: scholarly article
title: SOLVABLE AFFINE TERM STRUCTURE MODELS
zbMATH Open document ID: 1138.91547
author: Martino Grasselli
author: C. Tebaldi
published in: Mathematical Finance
publication date: 2008-05-22T00:00:00Z
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 5278189
MaRDI profile type: Publication
full work available at URL: j.1467-9965.2007.00325.x
OpenAlex ID: W2160819455
cites work: Interest rate volatility and the shape of the term structure
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Affine processes and applications in finance
cites work: Discrete time Wishart term structure models
cites work: Superposition formulas for pseudounitary matrix Riccati equations
cites work: Lie semigroups with triple decompositions
DOI: 10.1111/J.1467-9965.2007.00325.X
description: scientific article