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• W2944433903 abstract "Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time. These models are especially relevant for pricing sequences of speculative bubbles. We show that they feature nonaffine dynamics in calendar time, while still providing (quasi) closed form term structures and derivative pricing formulas. The framework is illustrated with term structure of interest rates and European call option pricing examples." @default.
• W2944433903 created "2019-05-16" @default.
• W2944433903 creator A5039946949 @default.
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• W2944433903 date "2023-03-31" @default.
• W2944433903 modified "2023-10-17" @default.
• W2944433903 title "Noncausal affine processes with applications to derivative pricing" @default.
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• W2944433903 doi "https://doi.org/10.1111/mafi.12384" @default.
• W2944433903 hasPublicationYear "2023" @default.
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