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Generalizing the Affine Framework to HJM and Random Field Models · Study

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PreprintGeneralizing the Affine Framework to HJM and Random Field Models

Pierre Collin‐Dufresne2003

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Preprintgreen2003

Generalizing the Affine Framework to HJM and Random Field Models

Pierre Collin‐Dufresne · Robert S. Goldstein

35 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2005Stochastic Integration and Differential Equations 1991Common Factors Affecting Bond Returns 2002Term Premia and Interest Rate Forecasts in Affine Models 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1997The Market Model of Interest Rate Dynamics

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2005Unspanned stochastic volatility and fixed income derivatives pricingarticle · 18 shared references 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Frameworkpreprint · 17 shared references 2007A General Stochastic Volatility Model for the Pricing of Interest Rate Derivativespreprint · 12 shared references 2008A General Stochastic Volatility Model for the Pricing of Interest Rate Derivativesarticle · 9 shared references 2002Pricing Swaptions Within an Affine Frameworkarticle · 9 shared references 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?preprint · 9 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.410421

openalex_workW1578572085

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