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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/414
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dc.contributor.authorElliott, R.-
dc.contributor.authorVan Der Hoek, J.-
dc.date.issued2001-
dc.identifier.citationFinance and Stochastics, 2001; 5(4):511-525-
dc.identifier.issn0949-2984-
dc.identifier.urihttp://hdl.handle.net/2440/414-
dc.descriptionThe original publication can be found at www.springerlink.com-
dc.description.abstractStochastic 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.-
dc.description.statementofresponsibilityRobert J. Elliott and John van der Hoek-
dc.language.isoen-
dc.publisherSpringer-Verlag-
dc.source.urihttp://www.springerlink.com/content/ejgg86m3a1b5909v/?p=61047200be9b49bd996507e7d57c9705&pi=4-
dc.subjectForward measure-
dc.subjectexponential affine-
dc.subjectbond pricing-
dc.titleStochastic flows and the forward measure-
dc.typeJournal article-
dc.identifier.doi10.1007/s007800000039-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
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