IDEAS home Printed from https://ideas.repec.org/p/arx/papers/0911.2757.html
   My bibliography  Save this paper

On affine interest rate models

Author

Listed:
  • Paul Lescot

    (LMRS)

Abstract

Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes (Lescot-Zambrini, Progress in Probability, vols 58 and 59). More recently it has appeared that each one--factor affine interest rate model (in the sense of Leblanc-Scaillet) could be described using such a Bernstein process.

Suggested Citation

  • Paul Lescot, 2009. "On affine interest rate models," Papers 0911.2757, arXiv.org, revised Oct 2011.
  • Handle: RePEc:arx:papers:0911.2757
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/0911.2757
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Alexander Lipton, 2020. "Old Problems, Classical Methods, New Solutions," Papers 2003.06903, arXiv.org.
    3. Adrian Prayoga & Nicolas Privault, 2017. "Pricing CIR Yield Options by Conditional Moment Matching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 19-38, March.
    4. Caio Almeida & Jos� Vicente, 2012. "Term structure movements implicit in Asian option prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 119-134, February.
    5. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
    6. Xing, Xiaoyu & Xing, Yongsheng & Yang, Xuewei, 2012. "A note on transition density for the reflected Ornstein–Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 586-591.
    7. Dassios, Angelos & Nagaradjasarma, Jayalaxshmi, 2011. "Pricing of Asian options on interest rates in the CIR model," LSE Research Online Documents on Economics 32084, London School of Economics and Political Science, LSE Library.
    8. Curato, Imma Valentina & Mancino, Maria Elvira & Recchioni, Maria Cristina, 2018. "Spot volatility estimation using the Laplace transform," Econometrics and Statistics, Elsevier, vol. 6(C), pages 22-43.
    9. Alexander Novikov & R. E. Melchers & E. Shinjikashvili & N. Kordzakhia, 2003. "First Passage Time of Filtered Poisson Process with Exponential Shape Function," Research Paper Series 109, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Ditlevsen, Susanne, 2007. "A result on the first-passage time of an Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1744-1749, December.
    11. Patie, Pierre, 2005. "On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 593-607, April.
    12. Alexander Lipton & Vadim Kaushansky, 2018. "On the First Hitting Time Density of an Ornstein-Uhlenbeck Process," Papers 1810.02390, arXiv.org, revised Oct 2018.
    13. Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
    14. Chuang Yi, 2010. "On the first passage time distribution of an Ornstein-Uhlenbeck process," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 957-960.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.2757. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.