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Equivalence of interest rate models and lattice gases
Equivalence of interest rate models lattice gases Computational Finance
2012/4/28
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). Th...
Abstract. Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. The consideration of the symmetries of the associated Hamilton-Jacobi-Bellman equation allows one to o...