Adelaide Research & Scholarship
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https://hdl.handle.net/2440/414
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| Type: | Journal article |
| Title: | Stochastic flows and the forward measure |
| Author: | Elliott, R. Van Der Hoek, J. |
| Citation: | Finance and Stochastics, 2001; 5(4):511-525 |
| Publisher: | Springer-Verlag |
| Issue Date: | 2001 |
| ISSN: | 0949-2984 |
| Statement of Responsibility: | Robert J. Elliott and John van der Hoek |
| Abstract: | Stochastic flows and their Jacobians are used to show why, when the short rate process is described by Gaussian dynamics, (as in the Vasicek or Hull-White models), or square root, affine (Bessel) processes, (as in the Cox-Ingersoll-Ross, or Duffie-Kan models), the bond price is an exponential affine function. Using the forward measure the bond price is obtained by solving a linear ordinary differential equation; Ricatti equations are not required. |
| Keywords: | Forward measure exponential affine bond pricing |
| Description: | The original publication can be found at www.springerlink.com |
| DOI: | 10.1007/s007800000039 |
| Published version: | http://www.springerlink.com/content/ejgg86m3a1b5909v/?p=61047200be9b49bd996507e7d57c9705&pi=4 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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