On affine interest rate models
Probability
2011-10-28 v4 Computational Finance
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.
Cite
@article{arxiv.0911.2757,
title = {On affine interest rate models},
author = {Paul Lescot},
journal= {arXiv preprint arXiv:0911.2757},
year = {2011}
}