Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing

Mathematical Finance

Volumn 15, Issue 1, 2005, Pages 27-47

  Aihara, Shin Ichi ^a   Bagchi, Arunabha ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Completeness; European options; Option pricing; Stochastic hyperbolic systems

Indexed keywords

EID: 14544269365     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00209.x     Document Type: Article

References (14)

1. BAGCHI, A. and K. S. KUMAR (2001): An Infinite Factor Model for the Interest Rate Derivatives; in Trends in Mathematical Finance, M. Kohlman, ed. Basel: Birkhauser Verlag, 59-69.
2. BJORK, T. (1997): Interest Rate Theory; in: Financial Mathematics in Lecture Notes in Mathematics 1656, W. J. Runggaldier, ed. Berlin: Springer-Verlag, 53-122.
3. BJORK, T. (1998): Arbitrage Theory in Continuous Time. New York: Oxford University Press.
4. BJORK, T., G. D. MASI, Y. KABANOV, and W. RUNGGALDIER (1997a): Towards a general theory of bond market. Finance Stock. 1, 141-174.
5. BJORK, T., Y. KABANOV, and W. RUNGGALDIER (1997b): Bond Market Structure in the Presence of Market Point Processes. Math. Finance 7, 211-239.
6. CONT, R. (1999): Modeling Term Structure Dynamics: An Infinite Dimensional Approach. Working paper, p. http://papers.ssrn.com/sol3/.
7. FILIPOVIC, D. (2001): Consistency Problems for Heath-Jarrow-Morton Interest Rate Models; in Lecture Notes in Mathematics; 1760. Berlin: Springer-Verlag.
8. GOLDSTEIN, R. (2000): The Term Structure of Interest Rates as a Random Field. Rev. Financial Stud. 13, 365-384.
9. HEATH, D. C., R. A. JARROW, and A. MORTON (1992): Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation. Econometrica 60, 77-105.
10. KENNEDY, D. P. (1994): The Term Structure of Interest Rates as a Gaussian Random Field. Math. Finance 4(3), 247-258.
11. MUSIELA, M., and M. RUTKOWSKI (1997): Martingle Methods in Financial Modeling. Heidelberg: Springer-Verlag.
12. PRATO, G. DA, and J. ZABCZYK (1992): Stochastic Equations in Infinite Dimensions. New York: Cambridge University Press.
13. SANTA-CLARA, P., and D. SORNETTE (2001): The Dynamics of the Forward Rate Curve with Stochastic String Shocks. Rev. Financial Stud. 14, 149-185.
14. SORNETTE, D. (1998): String Formulation of the Dynamics of the Forward Interest Rate Curve. Working paper, pp. http://xxx.lanl.gov/abs/cond-mat/ 9802136.