SOLVABLE AFFINE TERM STRUCTURE MODELS

By Martino Grasselli, Claudio Tebaldi. 2007

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/db9e74c78ba94391599055fb0c3f622c66643e29

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Citations in the corpus

Affine Diffusion Processes: Theory and Applications (2009, background): “(ii) Matrix state-spaces S d (d ≥ 2), the cone of symmetric positive definite matrices (see [5, 6, 15, 17, 19].”
Continuous Time Wishart Process for Stochastic Risk (2006, background): “In the Wishart framework, these equations can be solved partly (see Grasselli and Tebaldi, 2004 for a discussion of solvable ATSM).”
Derivative Pricing With Wishart Multivariate Stochastic Volatility (2010, methodology): “This is an example of multidimensional Riccati equation with a fundamental system of solutions (see Walcher 1986, 1991 for a general definition, and Grasselli and Tebaldi 2008 for a discussion of quadratic models, which do not include the present WAR process).”
Riding on the smiles (2011, unknown): “For the Heston (1993) model (as well as for all the affine models considered in this paper) the computation of the characteristic function is explicit.”
General closed-form basket option pricing bounds (2016, unknown): “In the following, we follow the approach of Grasselli and Tebaldi (2008) and Da Fonseca et al. (2007) and report their result on the joint Fourier transform of assets’ returns, that we adapt to our setting.”
On strong solutions for positive definite jump diffusions (2009, unknown): “The partial order on Sd induced by the cone is denoted by , and x ≻ 0, if and only if x ∈ S++d .”
Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “…evolution of a generic stochastic positive definite variance-covariance matrix within a linear-affine model with a non linear (cone) state space and Grasselli and Tebaldi (2008) state sufficient parametric conditions in order to obtain an admissible process preserving the cone state space formed…”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “Grasselli and Tebaldi [26] give some general results on the solvability of the corresponding Riccati ODEs.”
A multifactor volatility Heston model (2008, background): “Matrix Riccati equations such as ( 9 ) have several nice properties (see, eg, Freiling ( 2002 )): the most remarkable property is that their flow can be linearized by doubling the dimension of the problem, due to the fact that Riccati ODE belong to a quotient manifold (see Grasselli and Tebaldi ( 20”
Market price of risk speci-fications for a ne models: theory and evidence (2006, unknown): “The foundational work of Harrison and Kreps (1979) and Harrison and Pliska (1981) has been extended by many, such as Delbaen and Schachermayer (1994) and Delbaen and Schachermayer (1998).”