Forward-backward SDEs and the CIR model
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References listed on IDEAS
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- 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.
- Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406.
- Robert J. Elliott & John van der Hoek, 2001. "Stochastic flows and the forward measure," Finance and Stochastics, Springer, vol. 5(4), pages 511-525.
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KeywordsCIR model Bond price Forward-backward stochastic differential equations Riccati equations;
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