A forward-backward SDE approach to affine models

@inproceedings{Hyndman2009AFS,
  title={A forward-backward SDE approach to affine models},
  author={Cody B. Hyndman},
  year={2009}
}
We consider factor models for interest rates and asset prices where the riskneutral dynamics of the factors process is modelled by an affine diffusion. We characterize the factors process and bond price in terms of forward-backward stochastic differential equations, prove an existence and uniqueness theorem which gives the solution explicitly, and characterize the bond price as an exponential affine function of the factors in a new way. Our approach unifies the results, based on stochastic… CONTINUE READING

From This Paper

Topics from this paper.
2 Citations
40 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 40 references

Solvable affine term structure models

  • M. Grasselli, C. Tebaldi
  • Math. Finance,
  • 2008
Highly Influential
8 Excerpts

Forward-backward SDEs and the CIR model

  • C. B. Hyndman
  • Statistics and Probability Letters,
  • 2007
Highly Influential
15 Excerpts

Gaussian factor models - futures and forward prices

  • C. B. Hyndman
  • IMA Journal of Management Mathematics,
  • 2007
Highly Influential
9 Excerpts

On the term structure of futures and forward prices

  • T. Björk, C. Landén
  • In Mathematical finance—Bachelier Congress,
  • 2000
Highly Influential
5 Excerpts

Similar Papers

Loading similar papers…