Convexity theory for the term structure equation

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dc.creatorEkstrom, Erik
dc.creatorTysk, Johan
dc.date2007-02-15
dc.date.accessioned2026-07-07T12:11:22Z
dc.date.available2026-07-07T12:11:22Z
dc.descriptionWe study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these conditions the price is decreasing in the drift and increasing in the volatility of the short rate. We also study convexity properties of the logarithm of the price.
dc.identifierhttps://arxiv.org/abs/math/0702435
dc.identifierhttp://arxiv.org/abs/math/0702435
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210198
dc.subjectAnalysis of PDEs
dc.subjectProbability
dc.subjectComputational Finance
dc.subject35B99; 91B28
dc.titleConvexity theory for the term structure equation
dc.typetext

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