On affine interest rate models

Paul Lescot (1)

1 LMRS - Laboratoire de Mathématiques Raphaël Salem

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.

Domaines: Probabilités [math.PR]

Paul Lescot. On affine interest rate models. 2010. ⟨hal-00431615v4⟩