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On affine interest rate models

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  • 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.

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

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    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.
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