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arXiv · 0911.2757

On affine interest rate models

Paul Lescot
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Abstract

Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes (Lescot-Zambrini, Progress in Probability, vols 58 and 59). More recently it has appeared that each one--factor affine interest rate model (in the sense of Leblanc-Scaillet) could be described using such a Bernstein process.

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Paul Lescot. 2011-10-27. On affine interest rate models. https://arxiv.org/abs/0911.2757

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