Concept

Heston model

Related publications (24)

On the Geometry of the Term Structure of Interest Rates

We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fr´echet spaces in particular. This approach puts new light on many ...

2004

Affine Short Rate Models

Damir Filipovic

We give a complete characterization of affine term structure (ATS) models based on a general non-negative Markov short rate process. This applies to the classical Cox—Ingersoll—Ross (CIR) model but includes as well short rate processes with jumps. We provi ...

2002

A General Characterization of One Factor Affine Term Structure Models

Damir Filipovic

We give a complete characterization of affine term structure models based on a general nonnegative Markov short rate process. This applies to the classical CIR model but includes as well short rate processes with jumps.We provide a link to the theory of br ...

Springer Verlag2001

A Note on the Neslon-Siegel Familly

Damir Filipovic

We study a problem posed in Bjork and Christensen (1999): does there exist any nontrivial interest rate model which is consistent with the Nelson-Siegel family? They show that within the HJM framework with deterministic volatility structure the answer is n ...

Wiley-Blackwell1999

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.