Forward-backward SDEs and the CIR model
AbstractWe consider a forward-backward stochastic differential equation associated with the bond price for the Cox-Ingersoll-Ross interest rate model and prove an existence and uniqueness result. This technique is generalizable to multidimensional affine term structure models.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 77 (2007)
Issue (Month): 17 (November)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Robert J. Elliott & John van der Hoek, 2001. "Stochastic flows and the forward measure," Finance and Stochastics, Springer, vol. 5(4), pages 511-525.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406.
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