Affine processes, arbitrage-free term structures of legendre polynomials, and option pricing

Keyphrases

• Legendre 100%
• Option Pricing 100%
• Legendre Polynomials 100%
• Stochastic Differential Equations 100%
• Arbitrage-free 100%
• Affine Processes 100%
• Free Term 100%
• State Vector 66%
• Arbitrage 66%
• Conditional Characteristic Function 66%
• Linear Combination 33%
• Inverse Problem 33%
• Model Uncertainty 33%
• Econometrics 33%
• Fixed Income Markets 33%
• Drift Term 33%
• Factor Model 33%
• Short Rate 33%
• Affine Function 33%
• Pricing Derivatives 33%
• Random Coefficients 33%
• Term Structure of Interest Rates 33%
• Affine Term Structure Models 33%
• Affine Structure 33%
• Fixed Income Derivatives 33%

Mathematics

• Option Pricing 100%
• Legendre Polynomial 100%
• Term Structure 100%
• Arbitrage 100%
• Stochastic Differential Equation 50%
• Conditionals 33%
• Characteristic Function 33%
• Linear Combination 16%
• Drift Term 16%
• Affine Function 16%
• Random Coefficient 16%
• Fixed Price 16%
• Affine Term 16%

Economics, Econometrics and Finance

• Pricing 100%
• Arbitrage 100%
• Yield Curve 50%
• Econometrics 25%
• Fixed Income Market 25%
• Factor Model 25%
• Derivative Pricing 25%